A nonparametric approach to identifying a subset of forecasters that outperforms the simple average
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DOI: 10.1007/s00181-016-1152-y
Abstract: Empirical studies in the forecast combination literature have shown that it is notoriously difficult to improve upon the simple average despite the availability of optimal combination weights. In particular, historical performance-based combination approaches do not… read more here.
Keywords: simple average; nonparametric approach; approach identifying; upon simple ... See more keywords