A Bayesian Approach to the Linear Combination of Forecasts |
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Authors: | D W Bunn |
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Institution: | 1.The London Graduate School of Business Studies, |
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Abstract: | Bayesian methodology is suggested as a valid approach to the combination of forecasts and a simple subjectivist procedure is presented. It is shown how subjective probabilities can be meaningfully assigned over a set of forecasting models and updated, according to a Bayesian process, when the forecast realizations become known. |
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Keywords: | |
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