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The combining of forecasts using recursive techniques with non‐stationary weights
Author(s) -
Sessions D. N.,
Chatterjee S.
Publication year - 1989
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.3980080309
Subject(s) - computer science , recursive partitioning , recursive least squares filter , mathematical optimization , algorithm , mathematics , machine learning , adaptive filter
This paper evaluates six optimal and four ad hoc recursive combination methods on five actual data sets. The performance of all methods is compared to the mean and recursive least squares. A modification to one method is proposed and evaluated. The recursive methods were found to be very effective from start‐up on two of the data sets. Where the optimal methods worked well so did the ad hoc ones, suggesting that often combination methods allowing ‘local bias’ adjustment may be preferable to the mean forecast and comparable to the optimal methods.