A Mixture-Model Approach to Combining Forecasts
预测组合的混合模型方法
A multiprocess mixture-model approach to combining forecasts from alternative sources is proposed. This approach extends the Granger-Ramanathan method by allowing the weights used in producing the combination forecast to vary over time. In addition, the procedure discounts outlying data points that arise during time periods when all of the competing forecasts miss the mark. An empirical comparison with traditional and more recently proposed.combination methods demonstrates…