A non-linear forecast combination procedure for binary outcomes
We develop a non-linear forecast combination rule based on copulas that incorporate the dynamic interaction between individual predictors. This approach is optimal in the sense that the resulting combined forecast produces the highest discriminatory power as measured by the receiver operating charac...
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| Hauptverfasser: | , |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
München
CESifo
2015
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| Schriftenreihe: | CESifo working paper
5175 : Category 11, Empirical and theoretical methods |
| Online-Zugang: | kostenfrei |
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