6 citations · 10 across the 4 of their papers we have counts for
5 papers
Solving the Forecast Combination Puzzle
David T. Frazier, Ryan Covey, Gael M. Martin +1
We demonstrate that the forecasting combination puzzle is a consequence of the methodology commonly used to produce forecast combinations. By the combination puzzle, we refer to th…
Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach
Kanchana Nadarajah, Gael M Martin, Donald S Poskitt
We use the jackknife to bias correct the log-periodogram regression(LPR) estimator of the fractional parameter in a stationary fractionally integrated model. The weights for the ja…
Construction and Visualization of Optimal Confidence Sets for Frequentist Distributional Forecasts
David Harris, Gael M. Martin, Indeewara Perera +1
The focus of this paper is on the quantification of sampling variation in frequentist probabilistic forecasts. We propose a method of constructing confidence sets that respects the…
Bias Correction of Semiparametric Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap
Don S. Poskitt, Gael M. Martin, Simone D. Grose
This paper investigates bootstrap-based bias correction of semiparametric estimators of the long memory parameter, , in fractionally integrated processes. The re-sampling method…
Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes
D. S. Poskitt, Simone D. Grose, Gael M. Martin
This paper investigates the accuracy of bootstrap-based inference in the case of long memory fractionally integrated processes. The re-sampling method is based on the semi-parametr…