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Journal Article

Combining forecasts using the least trimmed squares

Víšek Jan Ámos

: Kybernetika vol.37, 2 (2001), p. 183-204

: AV0Z1075907

: 255/2000/A EK/FSV, GA UK

: robust regression, forecast improvement, high breakdown point

(eng): Employing recently derived asymptotic representation of the least trimmed squares estimator, the combination of the forecasts with constraints are studied. Under the assumption of unbiasedness of individual forecasts it is shown that the combination without intercept and with constraint imposed on the estimate of the regression coefficients that they sum to one, is better than others. A numerical example is included to support theoretical conclusions.

: 12B

: BB

07.01.2019 - 08:39