Smooth robust multi-horizon forecasts

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...

書誌詳細
主要な著者:	Martinez, AB, Castle, JL, Hendry, DF
その他の著者:	Chudik, A
フォーマット:	Journal article
言語:	English
出版事項:	Emerald 2022

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