Online forecast combinations of distributions: worst case bounds

DOI10.1016/J.JECONOM.2006.10.010MaRDI QIDQ289175zbMATH OpenOpenAlexFDO

Authors Alessio Sancetta

Publication date 27 May 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2006.10.010

zbMATH Keywords

forecast combinationexpertmultiplicative updatenon-asymptotic boundon-line learning

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Learning and adaptive systems in artificial intelligence (68T05) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 4074169 (Why is no real title available?)
• 10.1162/153244303321897654
• COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS
• Calibration-based empirical probability
• Combining probability distributions: A critique and an annotated bibliography
• Econometrics and decision theory
• Handbook of economic forecasting. Volume 1
• How to use expert advice
• Mixing strategies for density estimation.
• On prediction of individual sequences
• Optimal forecast combinations under general loss functions and forecast error distributions
• Persistence in forecasting performance and conditional combination strategies
• Pooling of forecasts
• Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
• Probability Inequalities for Sums of Bounded Random Variables
• Tracking the best expert
• Tracking the best linear predictor

Cited in

(9)

• Strongly consistent online forecasting of centered Gaussian processes
• Forecasting with universal approximators and a learning algorithm
• Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks
• Robust forecast combinations
• Bernstein copulas and composite Bernstein copulas
• Recursive forecast combination for dependent heterogeneous data
• Remarks on composite Bernstein copula and its application to credit risk analysis
• Multivariate composite copulas
• Composite Bernstein copulas

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