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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Detalles Bibliográficos
Autores principales: Cumings-Menon, Ryan, Shin, Minchul
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7597186/
https://www.ncbi.nlm.nih.gov/pubmed/33286698
http://dx.doi.org/10.3390/e22090929

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7597186/
https://www.ncbi.nlm.nih.gov/pubmed/33286698
http://dx.doi.org/10.3390/e22090929

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