NN 3-Forecasting Competition : an Adaptive Robustified Multi-Step-Ahead Out-Of-Sample Forecasting Combination Approach

@inproceedings{Wildi2007NN3C,
  title={NN 3-Forecasting Competition : an Adaptive Robustified Multi-Step-Ahead Out-Of-Sample Forecasting Combination Approach},
  author={Marc Wildi},
  year={2007}
}
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… CONTINUE READING