Information Theory and Ensemble Models

How should we ensemble time-series forecasts better?

Coming out of the pandemic, statisticians have run into a slew of geo-political complications further augmenting the inability to forecast business variables with accuracy. Did Ukraine drive retail prices higher in 2022 or was it the quantitative easing in 2021 that was the culprit? Some models say one thing and some say another, making it hard to accurately forecast inflation.

At the very foundation of econometrics, we rely on minimizing …

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