Pitman-closeness and the linear combination of multivariate forecasts
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Date
1998
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Publisher
Universitätsbibliothek Dortmund
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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.
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Keywords
combination of forecasts, multivariate forecasting methods, Pitman-closeness