University of Minnesota Ph.D. dissertation. November 2010. Major: Statistics. Advisor: Dr. Yuhong Yang. 1 computer file (PDF); viii, 86 pages.

Least squares combinations (Granger & Ramanathan, 1984) are an important development in the forecast combination literature. However, ordinary least squares methods often perform poorly in real application due to the variability of coefficient/weight estimations. In this work, on one hand, we...

Forecast combination has been proven to be a very important technique to obtain accurate predictions for various applications in economics, finance, marketing and many other areas. In many applications, forecast errors exhibit heavy-tailed behaviors for various reasons. Unfortunately, to our...

It is often reported in the forecast combination literature that a simple average of candidate forecasts is more robust than sophisticated combining methods. This phenomenon is usually referred to as the “forecast combination puzzle”. Motivated by this puzzle, we explore its possible...

This paper aims to better predict highly skewed auto insurance claims by combining candidate predictions. We analyze a version of the Kangaroo Auto Insurance company data and study the effects of combining different methods using five measures of prediction accuracy. The results show the...

Forecast combination has been proven to be a very important technique to obtain accurate predictions for various applications in economics, finance, marketing and many other areas. In many applications, forecast errors exhibit heavy-tailed behaviors for various reasons. Unfortunately, to our...

It is often reported in the forecast combination literature that a simple average of candidate forecasts is more robust than sophisticated combining methods. This phenomenon is usually referred to as the “forecast combination puzzle”. Motivated by this puzzle, we explore its possible...

It is often reported in forecast combination literature that a simple average of candidate forecasts is more robust than sophisticated combining methods. This phenomenon is usually referred to as the "forecast combination puzzle". Motivated by this puzzle, we explore its possible explanations...