A Note on Estimation of Optimal Weights for Density Forecast Combinations

The problem of finding appropriate weights to combine several density forecasts is an important issue that is currently being debated in the forecast combination literature. A recent paper by Hall and Mitchell (IJF, 2007) proposes to combine density forecasts with the weights obtained from solving an optimization problem. This paper documents the properties of this optimization problem with a series of simulation experiments. When the number of forecasting periods is relatively small, the optimization problem often produces solutions that are dominated by a number of simple alternatives

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Year of publication:	2015
Authors:	Pauwels, Laurent L.
Other Persons:	Vasnev, Andrey L. (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Prognoseverfahren \| Forecasting model \| Statistische Verteilung \| Statistical distribution \| Schätztheorie \| Estimation theory

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