A non-linear forecast combination procedure for binary outcomes
نویسندگان
چکیده
منابع مشابه
A non-linear forecast combination procedure for binary outcomes
We develop a non-linear forecast combination rule based on copulas that incorporate the dynamic interaction between individual predictors. This approach is optimal in the sense that the resulting combined forecast produces the highest discriminatory power as measured by the receiver operating characteristic (ROC) curve. Under additional assumptions, this rule is shown to be equivalent to the qu...
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ژورنال
عنوان ژورنال: Studies in Nonlinear Dynamics & Econometrics
سال: 2016
ISSN: 1558-3708,1081-1826
DOI: 10.1515/snde-2014-0054