On the aggregation of probability assessments: regularized mixtures of predictive densities for eurozone inflation and real interest rates

DOI10.1016/J.JECONOM.2022.06.008arXiv2012.11649MaRDI QIDQ6090580

Minchul Shin, Francis X. Diebold, Boyuan Zhang

Publication date: 17 November 2023

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

Full work available at URL: https://arxiv.org/abs/2012.11649

zbMATH Keywords

regularizationmodel selectionshrinkageforecast combinationmodel averagingdensity forecastssurvey forecastspartially egalitarian LASSOsubset averaging

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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