1
$\begingroup$

I have n forecast models that are run independently but I also want the value of the forecasts to sum to 1 and each forecast to be >= 0 in order to preclude some arbitrage conditions.

I’d be interested to know if there is any characterisation of the problem in the literature. I tried search terms like ‘joint forecasts econometrics’ which lead me to articles about ‘joint prediction regions’ but does not seem to be quite what I’m looking for. Thanks

$\endgroup$
  • $\begingroup$ If the forecasts are constrained to always sum to 1, then they aren't independent forecasts, so it would be difficult to run them independently? $\endgroup$ – Skander H. Dec 4 '18 at 17:47

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.