Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/77304 
Year of Publication: 
1998
Series/Report no.: 
Technical Report No. 1998,36
Publisher: 
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
Abstract: 
If there are various forecasts for the same random variable, it is common practice to combine these forecasts in order to obtain a better forecast. But an important question is how to perform the combination, especially if the system under investigation is subject to structural changes and consequently the best combination method is not the same all of the time. This paper presents a data driven approach, which for each point of time selects a combination technique from a given set of combination techniques. Properties and limitations of this selection procedure are investigated using simulated data from normal distributions.
Subjects: 
Combination of forecasts
selection predictor
Document Type: 
Working Paper

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