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Using different Pitman-closeness techniques for the linear combination of multivariate forecasts

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  • Wenzel, Thomas

Abstract

We specify the Pitman-closeness criterion for the evaluation of multivariate forecasts in three categories. This is done closely to the definition of covariance adjustment techniques analysed in other articles. We also apply the Pitman-closeness techniques to an example dealing with German economic data.

Suggested Citation

  • Wenzel, Thomas, 1999. "Using different Pitman-closeness techniques for the linear combination of multivariate forecasts," Technical Reports 1999,18, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    • Handle: RePEc:zbw:sfb475:199918
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    References listed on IDEAS

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    1. Troschke, Sven-Oliver, 1999. "A simulation study to compare various covariance adjustment techniques," Technical Reports 1999,41, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    2. Wenzel, Thomas, 1998. "Pitman-closeness and the linear combination of multivariate forecasts," Technical Reports 1998,34, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    3. Klapper, Matthias, 1999. "Multivariate rank-based forecast combining techniques," Technical Reports 1999,02, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    4. Wenzel, Thomas, 1998. "Pitman-closeness as a measure to evaluate the quality of forecasts," Technical Reports 1998,15, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    5. Klapper, Matthias, 1998. "Combining German macro economic forecasts using rank-based techniques," Technical Reports 1998,19, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
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