Online forecast combinations of distributions: worst case bounds

DOI10.1016/j.jeconom.2006.10.010zbMath1418.62364OpenAlexW2069036754MaRDI QIDQ289175

Alessio Sancetta

Publication date: 27 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.10.010

zbMATH Keywords

forecast combinationexpertmultiplicative updatenon-asymptotic boundon-line learning

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Learning and adaptive systems in artificial intelligence (68T05)

Related Items (7)

MULTIVARIATE COMPOSITE COPULAS ⋮ COMPOSITE BERNSTEIN COPULAS ⋮ Remarks on composite Bernstein copula and its application to credit risk analysis ⋮ Bernstein Copulas and Composite Bernstein Copulas ⋮ RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA ⋮ Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks ⋮ Robust forecast combinations

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• 10.1162/153244303321897654
• Probability Inequalities for Sums of Bounded Random Variables

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