Probability Forecast Combination via Entropy Regularized Wasserstein Distance

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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Bibliographic Details
Main Authors: Ryan Cumings-Menon, Minchul Shin
Format: Article
Language:English
Published: MDPI AG 2020-08-01
Series:Entropy
Subjects:
entropy regularization
Wasserstein distance
optimal transport
density forecasting
forecast combination
model combination
Online Access:https://www.mdpi.com/1099-4300/22/9/929

Internet

https://www.mdpi.com/1099-4300/22/9/929

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