Pitman-closeness and the linear combination of multivariate forecasts

Thomas Wenzel

No 1998,34, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: We use the Pitman-closeness criterion to evaluate the performance of multivariate forecasting methods and we also calculate optimal matrices of weights for the linear combination of multivariate forecasts. These weights are identical with the optimal weights under the matrix-MSE criterion.

Keywords: Pitman-closeness; multivariate forecasting methods; combination of forecasts (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb475:199834

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