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Combination Schemes (combination + scheme)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting75%

Selected Abstracts

OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING*

INTERNATIONAL ECONOMIC REVIEW, Issue 4 2005
Graham Elliott
This article proposes a new forecast combination method that lets the combination weights be driven by regime switching in a latent state variable. An empirical application that combines forecasts from survey data and time series models finds that the proposed regime switching combination scheme performs well for a variety of macroeconomic variables. Monte Carlo simulations shed light on the type of data-generating processes for which the proposed combination method can be expected to perform better than a range of alternative combination schemes. Finally, we show how time variations in the combination weights arise when the target variable and the predictors share a common factor structure driven by a hidden Markov process. [source]

Identification of Modal Combinations for Nonlinear Static Analysis of Building Structures

COMPUTER-AIDED CIVIL AND INFRASTRUCTURE ENGINEERING, Issue 4 2004
Sashi K. Kunnath
An increasingly popular analytical method to establish these demand values is a "pushover" analysis in which a model of the building structure is subjected to an invariant distribution of lateral forces. Although such an approach takes into consideration the redistribution of forces following yielding of sections, it does not incorporate the effects of varying dynamic characteristics during the inelastic response. Simple modal combination schemes are investigated in this article to indirectly account for higher mode effects. Because the modes that contribute to deformations may be different from the modes that contribute to forces, it is necessary to identify unique modal combinations that provide reliable estimates of both force and deformation demands. The proposed procedure is applied to typical moment frame buildings to assess the effectiveness of the methodology. It is shown that the envelope of demands obtained from a series of nonlinear static analysis using the proposed modal-combination-based lateral load patterns results in better estimation of inter-story drift, a critical parameter in seismic evaluation and design. [source]

OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING*

INTERNATIONAL ECONOMIC REVIEW, Issue 4 2005
Graham Elliott
This article proposes a new forecast combination method that lets the combination weights be driven by regime switching in a latent state variable. An empirical application that combines forecasts from survey data and time series models finds that the proposed regime switching combination scheme performs well for a variety of macroeconomic variables. Monte Carlo simulations shed light on the type of data-generating processes for which the proposed combination method can be expected to perform better than a range of alternative combination schemes. Finally, we show how time variations in the combination weights arise when the target variable and the predictors share a common factor structure driven by a hidden Markov process. [source]

Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights

JOURNAL OF FORECASTING, Issue 1-2 2010
Lennart Hoogerheide
Abstract Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time-varying model weights, are compared in terms of forecast accuracy and economic gains using financial and macroeconomic time series. The results indicate that the proposed time-varying model weight schemes outperform other combination schemes in terms of predictive and economic gains. In an empirical application using returns on the S&P 500 index, time-varying model weights provide improved forecasts with substantial economic gains in an investment strategy including transaction costs. Another empirical example refers to forecasting US economic growth over the business cycle. It suggests that time-varying combination schemes may be very useful in business cycle analysis and forecasting, as these may provide an early indicator for recessions. Copyright © 2009 John Wiley & Sons, Ltd. [source]