Determining the MSE-optimal cross section to forecast
确定预测所需的均方误差最优序列子集
In this paper, we address the question of which subset of time series should be selected among a given set in order to forecast another series. We evaluate the quality of the forecasts in terms of Mean Squared Error. We propose a family of criteria to estimate the optimal subset. Consistency results are proved, both in the weak (in probability) and strong (almost sure) sense. We present the results of a Monte Carlo experiment and a real data example in which the criteria are…