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Depth-Weighted Forecast Combination: Application To Covid-19 Cases, Yoonseok Lee, Donggyu Sul
Depth-Weighted Forecast Combination: Application To Covid-19 Cases, Yoonseok Lee, Donggyu Sul
Center for Policy Research
We develop a novel forecast combination based on the order statistics of individual predictability when many forecasts are available. To this end, we define the notion of forecast depth, which measures the size of forecast errors during the training period and provides a ranking among different forecast models. The forecast combination is in the form of a depth-weighted trimmed mean, where the group of models with the worst forecasting performance during the training period is dropped. We derive the limiting distribution of the depth-weighted forecast combination, based on which we can readily construct forecast confidence intervals. Using this novel forecast …