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Title: Combining forecasts using the least trimmed squares (English)
Author: Víšek, Jan Ámos
Language: English
Journal: Kybernetika
ISSN: 0023-5954
Volume: 37
Issue: 2
Year: 2001
Pages: [183]-204
Summary lang: English
Category: math
Summary: Employing recently derived asymptotic representation of the least trimmed squares estimator, the combinations of the forecasts with constraints are studied. Under assumption of unbiasedness of individual forecasts it is shown that the combination without intercept and with constraint imposed on the estimate of regression coefficients that they sum to one, is better than others. A numerical example is included to support theoretical conclusions. (English)
Keyword: regression coefficients
MSC: 62F30
MSC: 62F35
MSC: 62J05
MSC: 62M10
MSC: 62M20
MSC: 65C60
idZBL: Zbl 1264.62087
idMR: MR1835816
Date available: 2009-09-24T19:38:27Z
Last updated: 2015-03-26
Stable URL:
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