Corpus ID: 236965987

Bayesian forecast combination using time-varying features

  title={Bayesian forecast combination using time-varying features},
  author={Li Li and Yanfei Kang and Feng Li},
  • Li Li, Yanfei Kang, Feng Li
  • Published 2021
  • Economics, Mathematics
In this work, we propose a novel framework for density forecast combination by constructing time-varying weights based on time-varying features. Our framework estimates weights in the forecast combination via Bayesian log predictive scores, in which the optimal forecast combination is determined by time series features from historical information. In particular, we use an automatic Bayesian variable selection method to identify the importance of different features. To this end, our approach has… Expand


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