Smooth robust multi-horizon forecasts
We investigate whether smooth robust methods for forecasting can help mitigate pronounced and persistent failure across multiple forecast horizons. We demonstrate that naive predictors are interpretable as local estimators of the long-run relationship with the advantage of adapting quickly after a b...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Journal article |
| Language: | English |
| Published: |
Emerald
2022
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