Pitman-closeness and the linear combination of multivariate forecasts

Loading...
Thumbnail Image

Date

1998

Journal Title

Journal ISSN

Volume Title

Publisher

Universitätsbibliothek Dortmund

Abstract

We use the Pitman-closeness criterion to evaluate the performance of multivariate forecasting methods and we also calculate optimal matrices of weights for the linear combination of multivariate forecasts. These weights are identical with the optimal weights under the matrix-MSE criterion.

Description

Table of contents

Keywords

combination of forecasts, multivariate forecasting methods, Pitman-closeness

Citation