RDP 2008-02: Combining Multivariate Density Forecasts Using Predictive Criteria
Equation (A2)
p
^
(
z
k
,
t
+
h
|
y
k
,
t
)
=
n
−
1
∑
j
=
1
n
p
(
z
k
,
t
+
h
(
j
)
|
y
k
,
t
)
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