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• W3204577768 abstract "The forecast combination puzzle is often found in literature: The equal-weight scheme tends to outperform sophisticated methods of combining individual forecasts. Exploiting this finding, we propose a hedge egalitarian committees algorithm (HECA), which can be implemented via mixed integer quadratic programming. Specifically, egalitarian committees are formed by the ridge regression with shrinkage toward equal weights; subsequently, the forecasts provided by these committees are averaged by the hedge algorithm. We establish the no-regret property of HECA. Using data collected from the ECB Survey of Professional Forecasters, we find the superiority of HECA relative to the equal-weight scheme during the COVID-19 recession." @default.
• W3204577768 created "2021-10-11" @default.
• W3204577768 creator A5088037948 @default.
• W3204577768 date "2021-09-28" @default.
• W3204577768 modified "2023-09-27" @default.
• W3204577768 title "No-Regret Forecasting with Egalitarian Committees" @default.
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• W3204577768 hasPublicationYear "2021" @default.
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