Forecasting Using Relative Entropy

By J. Robertson, E. Tallman, Charles H. Whiteman. 2005

148 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/164ce57573521c06f1d27829afe870c1215fef21

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1. Fabian Krüger
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5. Barbara Rossi
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7. Kenneth S. Rogoff
8. David E. Rapach

Citations in the corpus

• Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts (2014, methodology): “As discussed by Robertson, Tallman, and Whiteman (2005) and others, the tilting solution is given by setting π∗i = exp ( γ ∗ ′ g(yi) ) ∑I i=1 exp ( γ ∗′g(yi) ) , (5) γ ∗ = arg minγ I∑ i=1 exp ( γ ′ (g(yi) − ḡ) ) .”