Forecast combination with outlier protection

摘要: Abstract Numerous forecast combination schemes with distinct properties have been proposed. However, to the best of our knowledge, there has little discussion in literature minimization outliers when combining forecasts. It would appear gone unnoticed that robust combining, which often improves predictive accuracy (under square or absolute error losses) innovation errors a tail is heavier than normal distribution, may higher frequency prediction outliers. Given importance reducing outlier forecasts, it desirable seek new loss functions can achieve both usual and outlier-protection simultaneously. In this paper, we propose synthetic function apply general adaptive scheme for outlier-protective Both theoretical numerical results support advantages method terms providing combined forecasts fewer large comparable overall performances.