Generalised Density Forecast Combinations

By George Kapetanios, James Mitchell, Simon Price, Nicholas Fawcett. 2015

91 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Global and Planetary Change, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/875bd98661cba02d03567599549e30724ab8879c

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

1. Andrew Gelman
2. Aki Vehtari
3. Francesco Ravazzolo
4. Yuling Yao
5. Daniel P. Simpson
6. Yanfei Kang
7. Mark F. J. Steel
8. K. Aastveit

In Global and Planetary Change

1. Andrew Gelman
2. Daniel P. Simpson
3. Mark F. J. Steel
4. Rob J Hyndman
5. Feng Li
6. Xiaoqian Wang
7. James Mitchell
8. Federico Bassetti

In Management Science and Operations Research

1. Yanfei Kang
2. Francesco Ravazzolo
3. Aki Vehtari
4. Andrew Gelman
5. Yuling Yao
6. Daniel P. Simpson
7. Feng Li
8. Xiaoqian Wang

Citations in the corpus

• Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance (2016, unknown): “Nonlinear pools are discussed, for instance, in Gneiting and Ranjan (2013) and Fawcett et al. (2014).”
• Using Stacking to Average Bayesian Predictive Distributions (with Discussion) (2017, methodology): “…of Bayesian density combination methods following the literature on combination of point forecasts (e.g. Hall and Mitchell, 2007; Geweke and Amisano, 2011; Billio et al., 2013; Aastveit et al., 2014; Kapetanios et al., 2015; Aastveit et al., 2018; Del Negro et al., 2016, and references therein).”
• Forecast combinations: An over 50-year review (2022, background): “years considerable attention has moved towards the use of probabilistic forecasts (e.g., Hall and Mitchell, 2007; Gneiting and Ranjan, 2013; Kapetanios et al., 2015; Martin et al., 2021) as they enable a”
• Bayesian Nonparametric Calibration and Combination of Predictive Distributions (2015, methodology): “However, there are two major differences with respect to Kapetanios et al. (2015).”
• The Evolution of Forecast Density Combinations in Economics (2018, background): “…combination methods including those of the linear opinion pool, (2), and the density forecast combinations considered in Geweke and Amisano (2011); Kapetanios et al. (2015); Pettenuzzo and Ravazzolo (2016); Aastveit et al. (2018) can be considered as special cases of (17), realized via different…”
• Model Averaging and Its Use in Economics (2017, background): “30Textbook treatments of this approach can be found in Chapter 11 of Koop (2003) and Chapter 2 of Fletcher (2018).”