On the uncertainty of a combined forecast: The critical role of correlation
Tài liệu tham khảo
Bank of Japan, (quarterly). Outlook for economic activity and prices. https://www.boj.or.jp/en/mopo/outlook/index.htm.
Bates, 1969, The combination of forecasts, Operational Research Quarterly, 20, 451, 10.1057/jors.1969.103
Elliott, 2016, Forecast combinations, 310
Gibbs, 2018
Grushka-Cockayne, 2019, Combining prediction intervals in the M4 competition, International Journal of Forecasting, 36, 178, 10.1016/j.ijforecast.2019.04.015
Hounyo, 2021, Estimating the variance of a combined forecast: Bootstrap-based approach, CREATES Research Paper Nr. 2021-14
Ikefuji, 2022
Knüppel, 2021, Forecast uncertainty, disagreement, and the linear pool, Journal of Applied Econometrics, 37, 23, 10.1002/jae.2834
Makridakis, 2018, The M4 competition: Results, findings, conclusion and way forward, International Journal of Forecasting, 34, 802, 10.1016/j.ijforecast.2018.06.001
Makridakis, 2022, The M5 accuracy competition: Results, findings and conclusions, International Journal of Forecasting, 38, 1346, 10.1016/j.ijforecast.2021.11.013
Matsypura, 2018, Optimal selection of expert forecasts with integer programming, Omega, 78, 165, 10.1016/j.omega.2017.06.010
Meira, 2021, Treating and pruning: New approaches to forecasting model selection and combination using prediction intervals, International Journal of Forecasting, 37, 547, 10.1016/j.ijforecast.2020.07.005
Qian, 2022, Combining forecasts for universally optimal performance, International Journal of Forecasting, 38, 193, 10.1016/j.ijforecast.2021.05.004
Radchenko, 2022, Too similar to combine? On negative weights in forecast combination, International Journal of Forecasting
Timmermann, 2006, Forecast combinations, 135, 10.1016/S1574-0706(05)01004-9
Tsuchiya, 2021, The value added of the bank of Japan’s range forecasts, Journal of Forecasting, 40, 817, 10.1002/for.2742
Wang, 2022, The uncertainty estimation of feature-based forecast combinations, Journal of the Operational Research Society, 73, 979, 10.1080/01605682.2021.1880297