The object of this paper is to produce non-parametric maximum likelihood estimates of forecast distributions in a general non-Gaussian, non-linear state space setting. The transition densities that define the evolution of the dynamic state process are represented in parametric form, but the...

This paper proposes two new weighting schemes that average forecasts based on different estimation windows in order to account for possible structural change. The first scheme weights the forecasts according to the values of reversed ordered CUSUM (ROC) test statistics, while the second...