Generalised Density Forecast Combinations
Generalised Density Forecast Combinations
复制标题
广义密度预测组合
DOI：
10.2139/ssrn.2403561
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发表时间：
2014
期刊：
影响因子：
--
通讯作者：
S. Price
中科院分区：
文献类型：
--
作者：
N. Fawcett;G. Kapetanios;James Mitchell;S. Price
密度预测组合作为一种提高预测“准确性”的手段正变得越来越流行，以评分规则来衡量。在本文中，我们通过让组合权值遵循更一般的格式来推广这些文献。筛估计用于优化广义密度组合的得分，其中组合权重依赖于试图预测的变量。特别注意的是使用分段线性权函数，使权值随密度区域的变化而变化。我们对这些方案进行了理论分析、蒙特卡罗实验和实证研究。我们的结果表明，广义组合优于线性组合。
Density forecast combinations are becoming increasingly popular as a means of improving forecast ‘accuracy’, as measured by a scoring rule. In this paper we generalise this literature by letting the combination weights follow more general schemes. Sieve estimation is used to optimise the score of the generalised density combination where the combination weights depend on the variable one is trying to forecast. Specific attention is paid to the use of piecewise linear weight functions that let the weights vary by region of the density. We analyse these schemes theoretically, in Monte Carlo experiments and in an empirical study. Our results show that the generalised combinations outperform their linear counterparts.