Lee, Tae-Hwy; Yang, Yang - In: Forecasting in the presence of structural breaks and …, (pp. 477-534). 2008
Bagging (bootstrap aggregating) is a smoothing method to improve predictive ability under the presence of parameter estimation uncertainty and model uncertainty. In Lee and Yang (2006), we examined how (equal-weighted and BMA-weighted) bagging works for one-step-ahead binary prediction with an...