EconPapers    
Economics at your fingertips  
 

The method of residual-based bootstrap averaging of the forecast ensemble

Vera Ivanyuk ()
Additional contact information
Vera Ivanyuk: Financial University

Financial Innovation, 2023, vol. 9, issue 1, 1-12

Abstract: Abstract This paper presents an optimization approach—residual-based bootstrap averaging (RBBA)—for different types of forecast ensembles. Unlike traditional residual-mean-square-error-based ensemble forecast averaging approaches, the RBBA method attempts to find optimal forecast weights in an ensemble and allows for their combination into the most effective additive forecast. In the RBBA method, all the different types of forecasts obtain the optimal weights for ensemble residuals that are statistically optimal in terms of the fitness function of the residuals. Empirical studies have been conducted to demonstrate why and how the RBBA method works. The experimental results based on the real-world time series of contemporary stock exchanges show that the RBBA method can produce ensemble forecasts with good generalization ability.

Keywords: Forecast ensembles; Time series; Artificial neural networks (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1186/s40854-023-00452-y Abstract (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00452-y

Ordering information: This journal article can be ordered from
http://www.springer. ... nomics/journal/40589

DOI: 10.1186/s40854-023-00452-y

Access Statistics for this article

Financial Innovation is currently edited by J. Leon Zhao and Zongyi

More articles in Financial Innovation from Springer, Southwestern University of Finance and Economics
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2025-03-20
Handle: RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00452-y