2 papers
stat.ME2025
Bayesian Modal Regression for Forecast Combinations
Henry D. van Eijk, Sujit K. Ghosh
Forecast combination methods have traditionally emphasized symmetric loss functions, particularly squared error loss, with equally weighted combinations often justified as a robust…
stat.ME2025
Optimizing Forecast Combination Weights Using Exponentially Weighted Hit and Win Rate Losses
Henry D. van Eijk, Sujit K. Ghosh
Forecasting revenues by aggregating analyst forecasts is a fundamental problem in financial research and practice. A key objective in this context is to improve the accuracy of the…