Bagging binary and quantile predictors for time series

DOI10.1016/j.jeconom.2005.07.017zbMath1418.62505MaRDI QIDQ291866

Yang Yang, Tae-Hwy Lee

Publication date: 10 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.07.017

zbMATH Keywords

BMA; majority voting; time series; forecast combination; bagging; asymmetric cost function; binary prediction; quantile prediction

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J05: Linear regression; mixed models

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B84: Economic time series analysis

Related Items

Robustify Financial Time Series Forecasting with Bagging, Forecasting vector autoregressions with mixed roots in the vicinity of unity, Robust forecast combinations, The Benefits of Bagging for Forecast Models of Realized Volatility

Uses Software

• quantilogram

Cites Work

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