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Optimal combination of density forecasts

This paper brings together two important but hitherto largely unrelated areas of the forecasting literature, density forecasting and forecast combination. It proposes a simple data-driven approach to direct combination of density forecasts using optimal weights.
Year of publication:
2004-11
Authors: Hall, Stephen ; Mitchell, James
Institutions: National Institute of Economic and Social Research
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10005609277
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