• Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time Varying Weight 

      Hoogerheide, Lennart; Kleijn, Richard; Ravazzolo, Francesco; van Dijk, Herman K.; Verbeek, Marno (Working Papers;10/2009, Working paper, 2009)
      Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast ...