The variable weighted functions of combined forecasting
In this paper, we describe a mathematical framework to determine the weighted functions in variable weight combined forecasting (VWCF) problems with continuous variable weights. Due to the polynomial approximation theorem and matrix analysis, the general formula of the variable weighted functions w(i)(t) in the VWCF problems is obtained. We put forward the optimal weighted matrix and get the optimal weights by minimizing errors square sum J at any given times. (C) 2003 Elsevier Science Ltd. All rights reserved.
variable weighted functions combined forecasting minimal errors square sum optimal combined weighted matrix