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Bank of Canada RSS Feedsen2024-03-29T07:08:22+00:00Calculating Effective Degrees of Freedom for Forecast Combinations and Ensemble Models
https://www.bankofcanada.ca/2022/09/staff-discussion-paper-2022-19/
This paper derives a calculation for the effective degrees of freedom of a forecast combination under a set of general conditions for linear models. Computing effective degrees of freedom shows that the complexity cost of a forecast combination is driven by the parameters in the weighting scheme and the weighted average of parameters in the auxiliary models.2022-09-20T11:00:03+00:00enCalculating Effective Degrees of Freedom for Forecast Combinations and Ensemble Models2022-09-20Econometric and statistical methodsStaff Discussion Paper 2022-19https://www.bankofcanada.ca/wp-content/uploads/2022/09/sdp2022-19.pdfCalculating Effective Degrees of Freedom for Forecast Combinations and Ensemble ModelsJames YounkerSeptember 2022CC0C01C02C1C13C5C50C51C52C53