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This papers offers a theoretical explanation for the stylized fact that forecast combinations with estimated optimal weights often perform poorly in applications. The properties of the forecast combination are typically derived under the assumption that the weights are fixed, while in practice...
Persistent link: https://www.econbiz.de/10014152595
The procedure known as warping aims at reducing phase variability in a sample of functional curve observations, by applying a smooth bijection to the argument of each of the functions. We propose a natural representation of warping functions in terms of a new type of elementary function named...
Persistent link: https://www.econbiz.de/10014208994
A focused information criterion is developed to estimate undirected graphical models where for each node in the graph a generalized linear model is put forward conditioned upon the other nodes in the graph. The proposed method selects a graph with a small estimated mean squared error for a...
Persistent link: https://www.econbiz.de/10014146964
Standard variable-selection procedures, primarily developed for the construction of outcome prediction models, are routinely applied when assessing exposure e®ects in observational studies. We argue that this tradition is sub-optimal and prone to yield bias in exposure effect estimates as well...
Persistent link: https://www.econbiz.de/10014188833
This papers offers a theoretical explanation for the stylized fact that forecast combinations with estimated optimal weights often perform poorly in applications. The properties of the forecast combination are typically derived under the assumption that the weights are fixed, while in practice...
Persistent link: https://www.econbiz.de/10013005909
This paper offers a theoretical explanation for the stylized fact that forecast combinations with estimated optimal weights often perform poorly in applications. The properties of the forecast combination are typically derived under the assumption that the weights are fixed, while in practice...
Persistent link: https://www.econbiz.de/10012997856