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
Provenance: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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