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No-Regret Forecasting with Egalitarian Committees (preprint)
arxiv; 2021.
Preprint
in English
| PREPRINT-ARXIV | ID: ppzbmed-2109.13801v1
ABSTRACT
The forecast combination puzzle is often found in literature The equal-weight scheme tends to outperform sophisticated methods of combining individual forecasts. Exploiting this finding, we propose a hedge egalitarian committees algorithm (HECA), which can be implemented via mixed integer quadratic programming. Specifically, egalitarian committees are formed by the ridge regression with shrinkage toward equal weights; subsequently, the forecasts provided by these committees are averaged by the hedge algorithm. We establish the no-regret property of HECA. Using data collected from the ECB Survey of Professional Forecasters, we find the superiority of HECA relative to the equal-weight scheme during the COVID-19 recession.
Full text:
Available
Collection:
Preprints
Database:
PREPRINT-ARXIV
Main subject:
COVID-19
Language:
English
Year:
2021
Document Type:
Preprint
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