Large-scale model comparison with fast model confidence sets
利用快速模型置信集开展大规模模型比较
The paper proposes a new algorithm for finding the confidence set of a collection of forecasts or prediction models. Existing numerical implementations use an elimination approach, where one starts with the full collection of models and successively eliminates the worst performing until the null of equal predictive ability is no longer rejected at a given confidence level. The intuition behind the proposed implementation lies in reversing the process, i.e. starting with a…