Combining Forecasts via Simulations

DOI10.1080/03610918.2012.731121MaRDI QIDQ5418875zbMATH OpenOpenAlexFDO

Authors Yuzhi Cai, Neville Davies, Wankai Pang

Publication date 30 May 2014

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://cronfa.swan.ac.uk/Record/cronfa19802/Download/19802__2385__e35dd6895ae54b77ab3243939dfcb409.pdf

zbMATH Keywords

autocorrelation structurecombining forecastsmarginal distributionsimulationweighted average

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• Bootstrap Methods for Time Series
• Convergence Theory of a Numerical Method for Solving the Chapman--Kolmogorov Equation
• Forecaster Diversity and the Benefits of Combining Forecasts
• Forecasting for quantile self-exciting threshold autoregressive time series models
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• Model Selection and Multimodel Inference

Cited in

(10)

• Combining multiple time series predictors: A useful inferential procedure
• Calibrated forecasting and merging
• Copulas-based time series combined forecasters
• Pooling of forecasts
• scientific article; zbMATH DE number 3885170 (Why is no real title available?)
• scientific article; zbMATH DE number 1483972 (Why is no real title available?)
• Combining interval time series forecasts. A first step in a long way (research agenda)
• The combination forecast about compositional data
• Robust forecast combinations
• Using clustering to improve sales forecasts in retail merchandising

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