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
Institutions:	Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
Subject:	Pitman-closeness \| multivariate forecasting methods \| combination of forecasts

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Extent:	application/pdf
Series:	Technical Reports.
Type of publication:	Book / Working Paper
Notes:	Number 1998,34
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010955520