Empirically-transformed linear opinion pools

نویسندگان

چکیده

The linear opinion pool (LOP) produces potentially non-Gaussian combination forecast densities. In this paper, we propose a computationally convenient transformation for the LOP to mirror non-Gaussianity exhibited by target variable. Our methodology involves Smirnov transform reshape forecasts using empirical cumulative distribution function. We illustrate our empirically transformed (EtLOP) approach with an application examining quarterly real-time U.S. inflation evaluated on sample from 1990:1 2020:2. EtLOP improves performance approximately 10% 30% in terms of continuous ranked probability score across forecasting horizons.

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ژورنال

عنوان ژورنال: International Journal of Forecasting

سال: 2023

ISSN: ['1872-8200', '0169-2070']

DOI: https://doi.org/10.1016/j.ijforecast.2022.02.003