Combining forecast quantiles using quantile regression: Investigating the derived weights, estimator bias and imposing constraints
作者:
JamesW. Taylor,
DerekW. Bunn,
期刊:
Journal of Applied Statistics
(Taylor Available online 1998)
卷期:
Volume 25,
issue 2
页码: 193-206
ISSN:0266-4763
年代: 1998
DOI:10.1080/02664769823188
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
A novel proposal for combining forecast distributions is to use quantile regression to combine quantile estimates. We consider the usefulness of the resultant linear combining weights. If the quantile estimates are unbiased, then there is strong intuitive appeal for omitting the constant and constraining the weights to sum to unity in the quantile regression. However, we show that suppressing the constant renders one of the main attractive features of quantile regression invalid. We establish necessary and sufficient conditions for unbiasedness of a quantile estimate, and show that a combination with zero constant and weights that sum to unity is not necessarily unbiased.
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