Probability Forecast Combination via Entropy Regularized Wasserstein Distance
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DOI: 10.21799/frbp.wp.2020.31
Abstract: We propose probability and density forecast combination methods that are defined using the entropy regularized Wasserstein distance. First, we provide a theoretical characterization of the combined density forecast based on the regularized Wasserstein distance under… read more here.
Keywords: entropy; density; regularized wasserstein; forecast ... See more keywords