The Impact of Sampling Variability on Estimated Combinations of Distributional Forecasts
抽样变异对估计所得分布预测组合的影响
We investigate the performance and sampling variability of estimated forecast combinations, with particular attention given to the combination of forecast distributions. Unknown parameters in the forecast combination are optimized according to criterion functions based on proper scoring rules, which are chosen to reward the form of forecast accuracy that matters for the problem at hand, and forecast performance is measured using the out-of-sample expectation of said scoring…