Robust forecast comparison

Robust forecast comparison

Forecast accuracy is typically measured in terms of a given loss function. However, as a consequence of the use of misspecified models in multiple model comparisons, relative forecast rankings are loss function dependent. In order to address this issue, a novel criterion for forecast evaluation that...

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書目詳細資料
Main Authors:	JIN, Sainan, Corradi, Valentina, Swanson, Norman R.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2016
主題:	Convex loss function Empirical processes Forecast superiority General loss function Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/1951 https://ink.library.smu.edu.sg/context/soe_research/article/2950/viewcontent/RobustForecastComparison_2016.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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