Authors: Wenzel, Thomas
Title: Using different Pitman-closeness techniques for the linear combination of multivariate forecasts
Language (ISO): en
Abstract: We specify the Pitman-closeness criterion for the evaluation of multivariate forecasts in three categories. This is done closely to the definition of covariance adjustment techniques analysed in other articles. We also apply the Pitman-closeness techniques to an example dealing with German economic data.
Subject Headings: covariance adjustment
multivariate forecasting methods
Issue Date: 1999
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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