What is it about?
Combining forecasts from different models can improve forecast performance significantly. In this paper we show in a Bayesian setting which priors tend to yield excellent forecasts.
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Why is it important?
Combining forecasts from different models can improve forecast performance significantly. In this paper we show in a Bayesian setting which priors tend to yield excellent forecasts.
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This page is a summary of: Forecast Combination and Bayesian Model Averaging: A Prior Sensitivity Analysis, Journal of Forecasting, March 2011, Wiley,
DOI: 10.1002/for.1228.
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