Forecast combinations in machine learning

• Main Authors: QIU, Yue, XIE, Tian, Jun YU
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2020
• Subjects: Model uncertainty; Machine learning; Nonlinearity; Forecast combinations; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2379; https://ink.library.smu.edu.sg/context/soe_research/article/3378/viewcontent/mlf_v05b_.pdf
• Institution: Singapore Management University

This paper introduces novel methods to combine forecasts made by machine learning techniques. Machine learning methods have found many successful applications in predicting the response variable. However, they ignore model uncertainty when the relationship between the response variable and the predi...