组合预测冗余方法判定的一个补充规则

A Supplement to Criterion for Determining Redundant Methods of Optimal Combining Forecasts

  • 摘要: 给出了一个非负权重最优组合预测冗余方法判定的补充规则及其证明,以释例说明了该规则能适应更多的实际情况,讨论了目前非负权重组合预测和冗余方法研究中的一些局限性,指出了进一步研究的思路。

     

    Abstract: Direct recognition of the redundant methods of optimal combining forecasts with non-negative weights from information matrix or covariance matrix of forecasting errors can simplify the computation of optimal weights and therefore help the practical application of optimal combination forecasting.In this paper,a supplement to the criteria for determining the redundant methods is proposed and illustrated to be more applicable than the previous criteria.Furthermore,the limitations in the present study of combining forecasts with non negative weights and redundant methods are discussed and further research of robust combining forecasts with non-negative weights,which is adaptable to structural changes is proposed.

     

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