Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/34544
Title: An approximate Bayesian algorithm for combining forecasts
Authors: Li, KH
Wong, H 
Troutt, M
Keywords: Financial models
Statistics
Term structure
Time series forecasting
Issue Date: 2001
Publisher: Wiley-Blackwell
Source: Decision sciences, 2001, v. 32, no. 3, p. 453-472 How to cite?
Journal: Decision sciences 
Abstract: In this paper we propose a consensus forecasting method based on a convex combination of individual forecast densities. The exact Bayesian updating of the convex combination weights is very complex and practically prohibitive. We propose a simple sequential updating alternative method based on function approximation. Several examples illustrate the method.
URI: http://hdl.handle.net/10397/34544
ISSN: 0011-7315
EISSN: 1540-5915
DOI: 10.1111/j.1540-5915.2001.tb00967.x
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