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Probability Forecast Combination via Entropy Regularized Wasserstein Distance
We propose probability and density forecast combination methods that are defined using the entropy regularized Wasserstein distance. First, we provide a theoretical characterization of the combined density forecast based on the regularized Wasserstein distance under the assumption. More specifically...
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| Publicado no: | Entropy (Basel) |
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| Main Authors: | , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
MDPI
2020
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7597186/ https://ncbi.nlm.nih.gov/pubmed/33286698 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.3390/e22090929 |
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