On the sign of the optimal combining weights under the error-variance minimizing criterion

✍ Scribed by Kuo-Yuan Liang

• Publisher: John Wiley and Sons
• Year: 1992
• Tongue: English
• Weight: 280 KB
• Volume: 11
• Category: Article
• ISSN: 0277-6693
• DOI: 10.1002/for.3980110809

✦ Synopsis

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.