No-Regret Forecasting with Egalitarian Committees

Jiun-Hua Su

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arXiv · 2109.13801

No-Regret Forecasting with Egalitarian Committees

Jiun-Hua Su

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Abstract

The forecast combination puzzle is often found in literature: The equal-weight scheme tends to outperform sophisticated methods of combining individual forecasts. Exploiting this finding, we propose a hedge egalitarian committees algorithm (HECA), which can be implemented via mixed integer quadratic programming. Specifically, egalitarian committees are formed by the ridge regression with shrinkage toward equal weights; subsequently, the forecasts provided by these committees are averaged by the hedge algorithm. We establish the no-regret property of HECA. Using data collected from the ECB Survey of Professional Forecasters, we find the superiority of HECA relative to the equal-weight scheme during the COVID-19 recession.

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Jiun-Hua Su. 2021-09-28. No-Regret Forecasting with Egalitarian Committees. https://arxiv.org/abs/2109.13801

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