Kybernetika 37 no. 2, 183-204, 2001

Combining forecasts using the least trimmed squares

Jan Ámos Víšek


Employing recently derived asymptotic representation of the least trimmed squares estimator, the combinations of the forecasts with constraints are studied. Under assumption of unbiasedness of individual forecasts it is shown that the combination without intercept and with constraint imposed on the estimate of regression coefficients that they sum to one, is better than others. A numerical example is included to support theoretical conclusions.