Compositional combination and selection of forecasters
Martín Arroyo, Antonio (Universidad Autónoma de Madrid)
de Juan Fernández, Aránzazu (Universidad Autónoma de Madrid)

Date:	2022
Abstract:	The Split-Then-Combine approach has previously been used to generate the weights of forecasts in a combination in the Euclidean space. This paper extends this approach to combine forecasts inside the simplex space, the sample space of positive weights adding up to one. As it turns out, the simplicial statistic given by the sample centre compares favourably against the fixed-weight, average forecast. Besides, we also develop a Combination-After-Selection method to get rid of redundant forecasters. We apply these approaches to make out-of-sample one-step ahead combinations and subcombinations of forecasts for several economic variables. This methodology is particularly useful when the sample size is smaller than the number of forecasts, a case where other methods (e. g. , ordinary least squares or principal component analysis) are not applicable.
Grants:	Agencia Estatal de Investigación PID2019-108079GBC22
Note:	Funding: The second author acknowledges fnancial support from the Spanish Government Project PID2019-108079GBC22.
Rights:	Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial, la distribució, i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades.
Language:	Anglès
Document:	Article ; recerca ; Versió publicada
Subject:	Aitchison geometry ; Combination-after-selection ; Dimensionality problem ; Simplex ; Split-then-combine
Published in:	SORT : statistics and operations research transactions, Vol. 46 Núm. 2 (2022) , p. 189-216 (Articles) , ISSN 2013-8830

Adreça original: https://raco.cat/index.php/SORT/article/view/409428
DOI: 10.2436/20.8080.02.123

28 p, 2.0 MB

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