Using a Bayesian framework this paper provides a multivariate combination approach to prediction based on a distributional state space representation of predictive densities from alternative models. In the proposed approach the model set can be incomplete. Several multivariate time-varying combination strategies are introduced. In particular, a weight dynamics driven by the past performance of the predictive densities is considered and the use of learning mechanisms. The approach is assessed using statistical and utility-based performance measures forevaluating density forecasts of US macroeconomic time series and of surveys of stock market prices.
|Data di pubblicazione:||2010|
|Titolo:||Combining predictive densities using Bayesian filtering with applications to US economics data|
|Titolo del libro:||Norges Bank Working Papers|
|Appare nelle tipologie:||3.1 Articolo su libro|