Pitman-closeness as a measure to evaluate the equality of forecasts

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Date

1998

Journal Title

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Volume Title

Publisher

Universitätsbibliothek Dortmund

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

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Keywords

combination of forecasts, evalutation of forecasting methods, Pitman-closenes

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