A Randomization Rule for Selecting Forecasts

Dean P. Foster and Rakesh V. Vohra
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Dean P. Foster: University of Pennsylvania, Philadelphia, Pennsylvania
Rakesh V. Vohra: Ohio State University, Columbus, Ohio

Operations Research, 1993, vol. 41, issue 4, 704-709

Abstract: We propose a randomized strategy for selecting/combining forecasts that is better than the forecasts used to produce it in a sense made precise in this paper. Unlike traditional methods this approach requires that no assumptions be made about the distribution of the event being forecasted or the error distribution and stationarity of the constituent forecasts. The method is simple and easy to implement.

Keywords: forecasting:; combining; forecasts (search for similar items in EconPapers)
Date: 1993
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Citations: View citations in EconPapers (17)

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