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On the sign of the optimal combining weights under the error‐variance minimizing criterion
Author(s) -
Liang KuoYuan
Publication year - 1992
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.3980110809
Subject(s) - sign (mathematics) , variance (accounting) , mathematics , measure (data warehouse) , statistics , computer science , data mining , mathematical analysis , accounting , business
Building on the well‐known measure of the optimal combining weights under the error‐variance minimizing criterion, this note has extended the sign‐determination rule to the case of combining more than two competing forecasts. The algebraic rule derived provides a quick way to check the sign of each combining weight without directly comparing the correlation and variances of individual forecasting errors.