Using different Pitman-closeness techniques for the linear combination of multivariate forecasts

We specify the Pitman-closeness criterion for the evaluation of multivariate forecasts in three categories. This is done closely to the definition of covariance adjustment techniques analysed in other articles. We also apply the Pitman-closeness techniques to an example dealing with German economic data.

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Year of publication:	1999
Authors:	Wenzel, Thomas
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Subject:	Pitman-closeness \| multivariate forecasting methods \| covariance adjustment

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Series:	Technical Report ; 1999,18
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	768042437 [GVK] hdl:10419/77298 [Handle] RePEc:zbw:sfb475:199918 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010316641