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主讲人 |
姜富伟 |
简介 |
<p>Many, even sophisticated, models cannot beat a simple mean combination of univariate stock market return forecasts. We introduce an ensemble learning method, which averages forecasts from sophisticated models (like BMA, WALS and Lasso) based on random subsamples and adaptively changes sampling distributions. Empirically, our novel method seems to improve the simple mean forecast with statistica.</p> |
