Forecasting with many predictors: is boosting a viable alternative?

DOI10.1016/J.ECONLET.2011.05.040zbMath1258.91185OpenAlexW2067414891MaRDI QIDQ1942870

Teresa Buchen, Klaus Wohlrabe

Publication date: 14 March 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://nbn-resolving.de/urn:nbn:de:bvb:19-epub-11788-5

zbMATH Keywords

forecastingboostinglarge datasets

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (4)

A note on forecasting Euro area inflation: leave-\(h\)-out cross validation combination as an alternative to model selection ⋮ Sparse reduced-rank regression with covariance estimation ⋮ Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods ⋮ Uncertainty and forecasts of U.S. recessions

Cites Work

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• Greedy function approximation: A gradient boosting machine.
• Handbook of economic forecasting. Volume 1
• Boosting algorithms: regularization, prediction and model fitting
• Boosting nonlinear additive autoregressive time series
• Additive logistic regression: a statistical view of boosting. (With discussion and a rejoinder by the authors)
• Boosting With theL₂Loss

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