Depth-weighted Forecast Combination: Application to COVID-19 Cases

نویسندگان

چکیده

The authors develop a novel forecast combination approach based on the order statistics of individual predictability from panel data forecasts. To this end, define notion depth, which provides ranking among different forecasts their normalized errors during training period. is in form depth-weighted trimmed mean. derive limiting distribution combination, can readily construct prediction intervals. Using predict national level new COVID-19 cases United States and compare it with other approaches including ensemble Centers for Disease Control Prevention (CDC). find that yields more accurate robust predictions compared popular combinations reports much narrower

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ژورنال

عنوان ژورنال: Advances in econometrics

سال: 2023

ISSN: ['0731-9053']

DOI: https://doi.org/10.1108/s0731-90532023000045b011