Cross Validated Asked by Oumayma Bounouh on December 18, 2020
I am working on combining forecasts. I thought of calculating the weights based on normal distribution. This latter is fitted on the past values of the time series.
My issue is, should the weight be equal to the sum of distances obtained from the PDF wi=sum(f(x;mu,sigma))/h or should it be the inverse ? Wi=1/(sum…)).
Thank you
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