Recursive forecast combination for dependent heterogeneous data

DOI10.1017/S0266466609100105MaRDI QIDQ3557552zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

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

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
• A simple recursive forecasting model
• COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS
• scientific article; zbMATH DE number 1228715 (Why is no real title available?)

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