Generalised Density Forecast Combinations

@article{Kapetanios2015GeneralisedDF,
  title={Generalised Density Forecast Combinations},
  author={G. Kapetanios and J. Mitchell and S. Price and Nicholas W. P. Fawcett},
  journal={Journal of Econometrics},
  year={2015},
  volume={188},
  pages={150-165}
}
Density forecast combinations are becoming increasingly popular as a means of improving forecast ‘accuracy’, as measured by a scoring rule. In this paper we generalise this literature by letting the combination weights follow more general schemes. Sieve estimation is used to optimise the score of the generalised density combination where the combination weights depend on the variable one is trying to forecast. Specific attention is paid to the use of piecewise linear weight functions that let… Expand
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