Combining Forecasts via Simulations

DOI10.1080/03610918.2012.731121zbMath1333.62221OpenAlexW2082503151MaRDI QIDQ5418875

Neville Davies, Wan-Kai Pang, Yuzhi Cai

Publication date: 30 May 2014

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://cronfa.swan.ac.uk/Record/cronfa19802/Download/19802__2385__e35dd6895ae54b77ab3243939dfcb409.pdf

zbMATH Keywords

simulationcombining forecastsautocorrelation structuremarginal distributionweighted average

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Unnamed Item
• Convergence Theory of a Numerical Method for Solving the Chapman--Kolmogorov Equation
• Model Selection and Multimodel Inference
• Bootstrap Methods for Time Series
• Forecaster Diversity and the Benefits of Combining Forecasts
• Forecasting for quantile self-exciting threshold autoregressive time series models

This page was built for publication: Combining Forecasts via Simulations