395 citations · 692 across the 25 of their papers we have counts for
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stat.ME2015
Forecast Combination Under Heavy-Tailed Errors
Gang Cheng, Sicong Wang, Yuhong Yang
Forecast combination has been proven to be a very important technique to obtain accurate predictions. In many applications, forecast errors exhibit heavy tail behaviors for various…
math.ST2015★ 2 cited
Bridging AIC and BIC: a new criterion for autoregression
Jie Ding, Vahid Tarokh, Yuhong Yang
We introduce a new criterion to determine the order of an autoregressive model fitted to time series data. It has the benefits of the two well-known model selection techniques, the…
stat.ME2015
On the Forecast Combination Puzzle
Wei Qian, Craig A. Rolling, Gang Cheng +1
It is often reported in forecast combination literature that a simple average of candidate forecasts is more robust than sophisticated combining methods. This phenomenon is usually…