An approximate Bayesian algorithm for combining forecasts

An approximate Bayesian algorithm for combining forecasts

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Article ID: iaor20032170
Country: United States
Volume: 32
Issue: 3
Start Page Number: 453
End Page Number: 471
Publication Date: Jul 2001
Journal: Decision Sciences
Authors: , ,
Keywords: financial
Abstract:

In this paper we propose a consensus forecasting method based on a convex combination of individual forecast densities. The exact Bayesian updating of the convex combination weights is very complex and practically prohibitive. We propose a simple sequential updating alternative method based on function approximation. Several examples illustrate the method.

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