Quantile aggregation of density forecasts
By F. Busetti. 2014
99 citations recorded by the source corpus.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/06a217ad496ec70f2f37b24653a7d055b8decf5f
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Francesco Ravazzolo
- Yanfei Kang
- K. Aastveit
- H. V. Dijk
- Rob J Hyndman
- Feng Li
- Xiaoqian Wang
- James Mitchell
Citations in the corpus
- The Evolution of Forecast Density Combinations in Economics (2018, methodology): “Quantile aggregation has also received some attention, with a macroeconomic application illustrating its utility provided by Busetti (2017); quantile aggregation involves taking a (perhaps weighted) linear combination of the i = 1, ..., N quantile functions rather than their inverse as in the linear”
- Forecast combinations: An over 50-year review (2022, background): “Busetti (2017) reconfirmed the argument and demonstrated that quantile averaging performs better than both linear pooling and logarithmic pooling when combining individual forecast distributions with large biases.”