Home
Publications
Optimal Combination Of Density Forecasts

Optimal combination of density forecasts

Pub. Date

05 November, 2004

Pub. Type

Discussion Papers

This Revision December 2005. First Version November 2004.

This paper brings together two important but hitherto largely unrelated areas of the forecasting literature, density forecasting and forecast combination. It proposes a simple data-driven approach to direct combination of density forecasts using optimal weights.