A Simple Recursive Forecasting Model

Branch, William A.Evans, George W., 1949-2005-03-222005-03-222005-02-01https://hdl.handle.net/1794/65410 p.We compare the performance of alternative recursive forecasting models. A simple constant gain algorithm, used widely in the learning literature, both forecasts well out of sample and also provides the best fit to the Survey of Professional Forecasters.252245 bytesapplication/pdfen-USConstant gainRecursive learningExpectationsA Simple Recursive Forecasting ModelWorking Paper