Online forecast combinations of distributions: worst case bounds
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Publication:289175
DOI10.1016/J.JECONOM.2006.10.010zbMATH Open1418.62364OpenAlexW2069036754MaRDI QIDQ289175FDOQ289175
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
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Applications of statistics to economics (62P20) Learning and adaptive systems in artificial intelligence (68T05) Inference from stochastic processes and prediction (62M20)
Cites Work
- Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
- Probability Inequalities for Sums of Bounded Random Variables
- Mixing strategies for density estimation.
- Optimal forecast combinations under general loss functions and forecast error distributions
- Persistence in forecasting performance and conditional combination strategies
- Handbook of economic forecasting. Volume 1
- COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS
- Econometrics and decision theory
- Tracking the best linear predictor
- Pooling of forecasts
- Title not available (Why is that?)
- Calibration-based empirical probability
- Combining probability distributions: A critique and an annotated bibliography
- Tracking the best expert
- On prediction of individual sequences
- How to use expert advice
- 10.1162/153244303321897654
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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