Recursive forecast combination for dependent heterogeneous data

DOI10.1017/S0266466609100105zbMATH Open1189.62186OpenAlexW2145223957MaRDI QIDQ3557552FDOQ3557552

Authors: Alessio Sancetta 

Publication date: 23 April 2010

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466609100105

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Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Cites Work

• Heuristics of instability and stabilization in model selection
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• Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
• Estimating and Testing Linear Models with Multiple Structural Changes
• Optimal forecast combinations under general loss functions and forecast error distributions
• Persistence in forecasting performance and conditional combination strategies
• Information Theory and Mixing Least-Squares Regressions
• COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS
• Tracking the best linear predictor
• Pooling of forecasts
• Universal Portfolios
• Online forecast combinations of distributions: worst case bounds
• NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES
• Exponentiated gradient versus gradient descent for linear predictors
• Efficient Universal Portfolios for Past‐Dependent Target Classes
• On‐Line Portfolio Selection Using Multiplicative Updates
• Analysis of two gradient-based algorithms for on-line regression
• Time Series Models for Forecasting: Testing or Combining?
• REAL-TIME ECONOMETRICS

Cited In (9)

• Arbitrage of forecasting experts
• Online learning and forecast combination in unbalanced panels
• Efficiency of the independence assumption in the combination of forecasts
• Robust forecast combinations
• Aggregation of predictors for nonstationary sub-linear processes and online adaptive forecasting of time varying autoregressive processes
• A GMM procedure for combining volatility forecasts
• COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS
• A simple recursive forecasting model
• Title not available (Why is that?)

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