英文标题：
《Split-then-Combine simplex combination and selection of forecasters》
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作者：
Antonio Martin Arroyo, Aranzazu de Juan Fernandez
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最新提交年份：
2020
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英文摘要：
This paper considers the Split-Then-Combine (STC) approach (Arroyo and de Juan, 2014) to combine forecasts inside the simplex space, the sample space of positive weights adding up to one. As it turns out, the simplicial statistic given by the center of the simplex compares favorably against the fixed-weight, average forecast. Besides, we also develop a Combine-After-Selection (CAS) method to get rid of redundant forecasters. We apply these two approaches to make out-of-sample one-step ahead combinations and subcombinations of forecasts for several economic variables. This methodology is particularly useful when the sample size is smaller than the number of forecasts, a case where other methods (e.g., Least Squares (LS) or Principal Component Analysis (PCA)) are not applicable.
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中文摘要：
本文考虑了在单纯形空间内组合预测的分裂-然后组合（STC）方法（Arroyo和de Juan，2014），即正权重加总为1的样本空间。事实证明，由单纯形中心给出的单纯形统计与固定权重的平均预测相比是有利的。此外，我们还开发了一种组合后选择（CAS）方法，以消除冗余预测。我们应用这两种方法对多个经济变量的预测进行抽样提前一步组合和子组合。当样本量小于预测数量时，这种方法特别有用，在这种情况下，其他方法（如最小二乘法（LS）或主成分分析（PCA））不适用。
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分类信息：

一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Economics 经济学
二级分类：General Economics 一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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