Lee, Tae-Hwy; Yang, Yang - In: Forecasting in the presence of structural breaks and …, (pp. 477-534). 2008
estimation uncertainty and model uncertainty. In Lee and Yang (2006), we examined how (equal-weighted and BMA-weighted) bagging …-step forecast horizons, with a general class of tick loss functions, with different estimation algorithms, for nonlinear quantile … may be affected by using different quantile estimation algorithms (in small samples, even if the estimation is consistent …
