Journal
COMPUTERS & MATHEMATICS WITH APPLICATIONS
Volume 45, Issue 4-5, Pages 723-730Publisher
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/S0898-1221(03)00032-4
Keywords
variable weighted functions; combined forecasting; minimal errors square sum; optimal combined weighted matrix
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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.
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