While there is a lot to say about multistep losses, I’ve decided to write the final post on one of them and leave the topic alone for a while. Here it goes. Last time, we discussed MSEh and TMSE, and I mentioned that both of them impose shrinkage and have some advantages and disadvantages. One […]
estimators
Multistep loss functions: Trace MSE
As we discussed last time, there are two possible strategies in forecasting: recursive and direct. The latter aligns with the estimation of a model using a so-called multistep loss function, such as Mean Squared Error for h-steps-ahead forecast (MSEh). But this is not the only loss function that can be efficiently used for model estimation. […]
Recursive vs Direct Forecasting Strategy
Have you heard about the recursive vs direct forecasts? There’s literature about them in the areas of both ML and statistics. What’s so special about them? Here is a short post. The term “recursive” forecasting refers to the approach, when we produce one-step-ahead forecast first, then use it to produce two-steps-ahead, three-steps-ahead, and so on. […]