Authors: Wenzel, Thomas
Title: Pitman-closeness and the linear combination of multivariate forecasts
Language (ISO): en
Abstract: We use the Pitman-closeness criterion to evaluate the performance of multivariate forecasting methods and we also calculate optimal matrices of weights for the linear combination of multivariate forecasts. These weights are identical with the optimal weights under the matrix-MSE criterion.
Subject Headings: combination of forecasts
multivariate forecasting methods
Pitman-closeness
URI: http://hdl.handle.net/2003/4830
http://dx.doi.org/10.17877/DE290R-5406
Issue Date: 1998
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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