RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA
研究了一种在理论上达到最优性能的预测组合方法，适用于多种损失函数，仅需数据序列的尾部条件，且时变组合权重下界也成立。
This paper studies a procedure to combine individual forecasts that achieve theoretical optimal performance. The results apply to a wide variety of loss functions and only require a tail condition on the data sequences. The theoretical results show that the bounds are also valid in the case of time varying combination weights.