Combining Forecast Quantiles Using Quantile Regression: Investigating the Derived Weights, Estimator Bias and Imposing Constraints.
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...
| Автори: | , |
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| Формат: | Journal article |
| Мова: | English |
| Опубліковано: |
Taylor and Francis
1998
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