Optimal and robust combination of forecasts via constrained optimization and shrinkage
Francesco Roccazzella, Paolo Gambetti, Frédéric Vrins
| Year of publication: |
2022
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|---|---|
| Authors: | Roccazzella, Francesco ; Gambetti, Paolo ; Vrins, Frédéric |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 38.2022, 1, p. 97-116
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| Subject: | Forecast combination | Machine learning | Model selection | Robust methods | Shrinkage | Prognoseverfahren | Forecasting model | Theorie | Theory | Robustes Verfahren | Robust statistics | Künstliche Intelligenz | Artificial intelligence | Modellierung | Scientific modelling | Mathematische Optimierung | Mathematical programming |
| Description of contents: | Description [sciencedirect.com] |