Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/77219
Authors: 
Wenzel, Thomas
Year of Publication: 
1998
Series/Report no.: 
Technical Report, SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 1998,34
Abstract: 
We use the Pitman-closeness criterion to evaluate the performance of multivariate forecasting methods and we also calculate optimal matrices of weights for the linear combination of multivariate forecasts. These weights are identical with the optimal weights under the matrix-MSE criterion.
Subjects: 
Pitman-closeness
multivariate forecasting methods
combination of forecasts
Document Type: 
Working Paper

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