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 |
Provenance: | Universitätsbibliothek Dortmund |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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98_34.pdf | DNB | 62.17 kB | Adobe PDF | View/Open |
tr34-98.ps | 259.01 kB | Postscript | View/Open |
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