Combining Forecast Quantiles Using Quantile Regression: Investigating the Derived Weights, Estimator Bias and Imposing Constraints

Combining Forecast Quantiles Using Quantile Regression: Investigating the Derived Weights, Estimator Bias and Imposing Constraints

Εμφάνιση άλλων εκδόσεων (1)

A novel proposal for combining forecast distributions is to use quantile regression to combine quantile estimates. We consider the usefulness of the resultant linear combining weights. If the quantile estimates are unbiased, then there is strong intuitive appeal for omitting the constant and constra...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριοι συγγραφείς:	Taylor, J, Bunn, D
Μορφή:	Journal article
Έκδοση:	1998

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