FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1853236750> ?p ?o ?g. }

• W1853236750 endingPage "824" @default.
• W1853236750 startingPage "797" @default.
• W1853236750 abstract "Forecast combination has been proven to be a very important technique to obtain accurate predictions for various applications in economics, finance, marketing and many other areas. In many applications, forecast errors exhibit heavy-tailed behaviors for various reasons. Unfortunately, to our knowledge, little has been done to obtain reliable forecast combinations for such situations. The familiar forecast combination methods, such as simple average, least squares regression or those based on the variance-covariance of the forecasts, may perform very poorly due to the fact that outliers tend to occur, and they make these methods have unstable weights, leading to un-robust forecasts. To address this problem, in this paper, we propose two nonparametric forecast combination methods. One is specially proposed for the situations in which the forecast errors are strongly believed to have heavy tails that can be modeled by a scaled Student’s t-distribution; the other is designed for relatively more general situations when there is a lack of strong or consistent evidence on the tail behaviors of the forecast errors due to a shortage of data and/or an evolving data-generating process. Adaptive risk bounds of both methods are developed. They show that the resulting combined forecasts yield near optimal mean forecast errors relative to the candidate forecasts. Simulations and a real example demonstrate their superior performance in that they indeed tend to have significantly smaller prediction errors than the previous combination methods in the presence of forecast outliers." @default.
• W1853236750 created "2016-06-24" @default.
• W1853236750 creator A5015458882 @default.
• W1853236750 creator A5019415245 @default.
• W1853236750 creator A5038878630 @default.
• W1853236750 date "2015-11-23" @default.
• W1853236750 modified "2023-10-16" @default.
• W1853236750 title "Forecast Combination under Heavy-Tailed Errors" @default.
• W1853236750 cites W1563640319 @default.
• W1853236750 cites W1605276600 @default.
• W1853236750 cites W1856341315 @default.
• W1853236750 cites W1987896546 @default.
• W1853236750 cites W1996063690 @default.
• W1853236750 cites W2014115301 @default.
• W1853236750 cites W2017034551 @default.
• W1853236750 cites W2021136548 @default.
• W1853236750 cites W2028147019 @default.
• W1853236750 cites W2028719480 @default.
• W1853236750 cites W2036870214 @default.
• W1853236750 cites W2048665112 @default.
• W1853236750 cites W2050777286 @default.
• W1853236750 cites W2055301467 @default.
• W1853236750 cites W2079238725 @default.
• W1853236750 cites W2091771614 @default.
• W1853236750 cites W2093780163 @default.
• W1853236750 cites W2145223957 @default.
• W1853236750 cites W2161020850 @default.
• W1853236750 cites W2327271031 @default.
• W1853236750 cites W3121581779 @default.
• W1853236750 cites W3124475746 @default.
• W1853236750 cites W3124780119 @default.
• W1853236750 cites W3125185139 @default.
• W1853236750 cites W4239414618 @default.
• W1853236750 cites W4250639944 @default.
• W1853236750 doi "https://doi.org/10.3390/econometrics3040797" @default.
• W1853236750 hasPublicationYear "2015" @default.
• W1853236750 type Work @default.
• W1853236750 sameAs 1853236750 @default.
• W1853236750 citedByCount "1" @default.
• W1853236750 countsByYear W18532367502020 @default.
• W1853236750 crossrefType "journal-article" @default.
• W1853236750 hasAuthorship W1853236750A5015458882 @default.
• W1853236750 hasAuthorship W1853236750A5019415245 @default.
• W1853236750 hasAuthorship W1853236750A5038878630 @default.
• W1853236750 hasBestOaLocation W18532367501 @default.
• W1853236750 hasConcept C102366305 @default.
• W1853236750 hasConcept C105795698 @default.
• W1853236750 hasConcept C120954023 @default.
• W1853236750 hasConcept C121955636 @default.
• W1853236750 hasConcept C124101348 @default.
• W1853236750 hasConcept C149782125 @default.
• W1853236750 hasConcept C154945302 @default.
• W1853236750 hasConcept C162324750 @default.
• W1853236750 hasConcept C166851805 @default.
• W1853236750 hasConcept C170061395 @default.
• W1853236750 hasConcept C174303752 @default.
• W1853236750 hasConcept C178650346 @default.
• W1853236750 hasConcept C196083921 @default.
• W1853236750 hasConcept C33923547 @default.
• W1853236750 hasConcept C41008148 @default.
• W1853236750 hasConcept C79337645 @default.
• W1853236750 hasConceptScore W1853236750C102366305 @default.
• W1853236750 hasConceptScore W1853236750C105795698 @default.
• W1853236750 hasConceptScore W1853236750C120954023 @default.
• W1853236750 hasConceptScore W1853236750C121955636 @default.
• W1853236750 hasConceptScore W1853236750C124101348 @default.
• W1853236750 hasConceptScore W1853236750C149782125 @default.
• W1853236750 hasConceptScore W1853236750C154945302 @default.
• W1853236750 hasConceptScore W1853236750C162324750 @default.
• W1853236750 hasConceptScore W1853236750C166851805 @default.
• W1853236750 hasConceptScore W1853236750C170061395 @default.
• W1853236750 hasConceptScore W1853236750C174303752 @default.
• W1853236750 hasConceptScore W1853236750C178650346 @default.
• W1853236750 hasConceptScore W1853236750C196083921 @default.
• W1853236750 hasConceptScore W1853236750C33923547 @default.
• W1853236750 hasConceptScore W1853236750C41008148 @default.
• W1853236750 hasConceptScore W1853236750C79337645 @default.
• W1853236750 hasFunder F4320309090 @default.
• W1853236750 hasIssue "4" @default.
• W1853236750 hasLocation W18532367501 @default.
• W1853236750 hasLocation W18532367502 @default.
• W1853236750 hasLocation W18532367503 @default.
• W1853236750 hasLocation W18532367504 @default.
• W1853236750 hasOpenAccess W1853236750 @default.
• W1853236750 hasPrimaryLocation W18532367501 @default.
• W1853236750 hasRelatedWork W1492770578 @default.
• W1853236750 hasRelatedWork W1525796339 @default.
• W1853236750 hasRelatedWork W1608789015 @default.
• W1853236750 hasRelatedWork W2003490947 @default.
• W1853236750 hasRelatedWork W2099230784 @default.
• W1853236750 hasRelatedWork W2130552218 @default.
• W1853236750 hasRelatedWork W2157763853 @default.
• W1853236750 hasRelatedWork W3121387878 @default.
• W1853236750 hasRelatedWork W4327660055 @default.
• W1853236750 hasRelatedWork W2014662054 @default.
• W1853236750 hasVolume "3" @default.
• W1853236750 isParatext "false" @default.
• W1853236750 isRetracted "false" @default.

• next