Authors: Wenzel, Thomas
Title: Pitman-closeness as a measure to evaluate the equality of forecasts
Language (ISO): en
Abstract: We consider Pitman-closeness to evaluate the performance of forecasting methods. Optimal weights for the combination of forecasts are calculated with respect to this criterion. We show that theses weights depend on the assuption on the distribution of the forecast errors. In the normal case they are identical with the optimal weights with respect to MSE-criterion
Subject Headings: combination of forecasts
evalutation of forecasting methods
Issue Date: 1998
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

Files in This Item:
File Description SizeFormat 
98_15.pdfDNB419.04 kBAdobe PDFView/Open
tr15-98.ps1.9 MBPostscriptView/Open

This item is protected by original copyright

All resources in the repository are protected by copyright.