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Model confidence sets and forecast combination: An application to age-specific mortality

Shang, Hanlin; Haberman, Steven

Description

Background: Model averaging combines forecasts obtained from a range of models, and it often produces more accurate forecasts than a forecast from a single model. Objective: The crucial part of forecast accuracy improvement in using the model averaging lies in the determination of optimal weights from a finite sample. If the weights are selected sub-optimally, this can affect the accuracy of the model-averaged forecasts. Instead of choosing the optimal weights, we consider trimming a set of...[Show more]

CollectionsANU Research Publications
Date published: 2018-11-21
Type: Journal article
URI: http://hdl.handle.net/1885/172038
Source: Genus - Journal of Population Sciences
DOI: 10.1186/s41118-018-0043-9
Access Rights: Open Access

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