NN3-Forecasting Competition: an Adaptive Robustified Multi-Step-Ahead Out-Of-Sample Forecasting Combination Approach
نویسنده
چکیده
Extensive empirical experience suggests that traditional forecasting approaches are subject to more or less severe model misspecifications which affect true (out-of-sample) oneas well as multi-step ahead forecasting performances. The main problems are due to non-stationarity and non-Gaussianity. In order to overcome these difficulties, we propose a prototypical design derived from a traditional adaptive state-space approach which is suited for tracking non-stationarities. The proposed procedure has been heavily modified to account for true out-of-sample performances, for non-Gaussianity, for multi-step performances as well as potential misspecifications.
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