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Investigating improvements in the accuracy of prediction intervals for combinations of forecasts: A simulation study.

Abstract:

Despite a considerable literature on the combination of forecasts, there is little guidance regarding the assessment of their uncertainty. Since combining methods do not involve a formal procedure for identifying the underlying data generating model, theoretical variance expressions are not easily derived. We compare the ability of theoretical, empirical and a new nonparametric method to predict points on the forecast error distribution. Three different approaches to combining, i.e. regressio...

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Publisher:
Elsevier
Journal:
International Journal of Forecasting More from this journal
Volume:
15
Issue:
3
Pages:
325 - 339
Publication date:
1999-01-01
DOI:
ISSN:
0169-2070
Language:
English
UUID:
uuid:b811efd2-28cd-4129-a55f-0d6dd7b3ed8e
Local pid:
oai:economics.ouls.ox.ac.uk:14867
Deposit date:
2011-08-16

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