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RDP 2008-02: Combining Multivariate Density Forecasts Using Predictive Criteria
Equation (1)
y
t
b
v
a
r
=
∑
i
=
1
p
A
i
y
t
−
i
b
v
a
r
+
B
+
ε
t
MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaaiyEamaaDa aaleaacaWG0baabaGaamOyaGqaciaa=zhacaWFHbGaa8NCaaaakiab g2da9maaqahabaGaamyqamaaBaaaleaacaWGPbaabeaakiaadMhada qhaaWcbaGaamiDaGGaaiab+jHiTiaadMgaaeaacaWGIbGaa8NDaiaa =fgacaWFYbaaaaqaaiaadMgacqGH9aqpcaaIXaaabaGaamiCaaqdcq GHris5aOGaey4kaSIaamOqaiabgUcaRiabew7aLnaaBaaaleaacaWG 0baabeaaaaa@51C1@