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Generalised Density Forecast Combinations




Speaker: Professor Simon Price - Bank of England

Series: Economics Department Seminar Series

Economics Department Seminar

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 the weights vary by region of the density. We analyse these schemes theoretically, in Monte Carlo experiments and in an empirical study. Our results show that the generalised combinations outperform their linear counterparts.

Speakers details can be found here.

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When and where

5.00pm - 6.20pmWednesday 15th May 2013

D427 Social Sciences Building City, University of London St John Street London EC1V 0HB United Kingdom