Pitman-closeness and the linear combination of multivariate forecasts
نویسنده
چکیده
We use the Pitman-closeness criterion to evaluate the performance of multivariate forecasting methods and we also calculate optimal matrices of weights for the linear combination of multivariate forecasts. These weights are identical with the optimal weights under the matrix-MSE criterion.
منابع مشابه
Using different Pitman-closeness techniques for the linear combination of multivariate forecasts
We specify the Pitman-closeness criterion for the evaluation of multivariate forecasts in three categories. This is done closely to the definition of covariance adjustment techniques analysed in other articles. We also apply the Pitman-closeness techniques to an example dealing with German economic data.
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