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Combining forecasts using the least trimmed squares

Jan Ámos Víšek (2001)

Kybernetika

Employing recently derived asymptotic representation of the least trimmed squares estimator, the combinations of the forecasts with constraints are studied. Under assumption of unbiasedness of individual forecasts it is shown that the combination without intercept and with constraint imposed on the estimate of regression coefficients that they sum to one, is better than others. A numerical example is included to support theoretical conclusions.

Computational intensive methods for prediction and imputation in time series analysis

Maria Manuela Neves, Clara Cordeiro (2011)

Discussiones Mathematicae Probability and Statistics

One of the main goals in times series analysis is to forecast future values. Many forecasting methods have been developed and the most successful are based on the concept of exponential smoothing, based on the principle of obtaining forecasts as weighted combinations of past observations. Classical procedures to obtain forecast intervals assume a known distribution for the error process, what is not true in many situations. A bootstrap methodology can be used to compute distribution free forecast...

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