A note on the estimation of optimal weights for density forecast combinations

The problem of finding appropriate weights for combining several density forecasts is an important issue that is currently being debated in the forecast combination literature. A recent paper by Hall and Mitchell (2007) proposes that density forecasts be combined using the weights obtained from solv...

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Bibliographic Details
Published in:International journal of forecasting 2016-04, Vol.32 (2), p.391-397
Main Authors: Pauwels, Laurent L., Vasnev, Andrey L.
Format: Article
Language:English
Subjects:
Density
Density forecast
Discrete choice models
Forecast combination
Forecasting techniques
Mathematical problems
Optimal weight
Optimization
Optimization techniques
Simulation
Studies
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Summary:The problem of finding appropriate weights for combining several density forecasts is an important issue that is currently being debated in the forecast combination literature. A recent paper by Hall and Mitchell (2007) proposes that density forecasts be combined using the weights obtained from solving an optimization problem. This paper documents the properties of this optimization problem through a series of simulation experiments. When the number of forecasting periods is relatively small, the optimization problem often produces solutions that are dominated by a number of simple alternatives.
ISSN:0169-2070
1872-8200
DOI:10.1016/j.ijforecast.2015.09.002