Using different Pitman-closeness techniques for the linear combination of multivariate forecasts
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Universitätsbibliothek Dortmund
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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.
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covariance adjustment, multivariate forecasting methods, Pitman-closeness