Pitman-closeness and the linear combination of multivariate forecasts

We use the Pitman-closeness criterion to evaluate the performance of multivariate forecasting methods and we also calculate optimal matrices of weights for the linear combination of multivariate forecasts. These weights are identical with the optimal weights under the matrix-MSE criterion.

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Year of publication:	1998
Authors:	Wenzel, Thomas
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Subject:	Pitman-closeness \| multivariate forecasting methods \| combination of forecasts

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Series:	Technical Report ; 1998,34
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	816102171 [GVK] hdl:10419/77219 [Handle] RePEc:zbw:sfb475:199834 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010316562