← 研踪 PaperTrailarXiv:2512.13642 · v3
From Many Models, One: Macroeconomic Forecasting with Reservoir Ensembles
首次提交 2025-12-16 02:36
版本更新 2026-10-30 00:33
雷达观测 2026-10-30 13:28
摘要
Model combination offers an alternative to selecting a single forecasting model, particularly when individual models are sensitive to random initialization and hyperparameter choices. We study online aggregation through Follow-the-Leader (FTL) and Hedge-type algorithms, with an application to ensembles of Multi-Frequency Echo State Networks (MFESNs) for macroeconomic forecasting. On the theoretical side, we derive Hoeffding- and Bernstein-type expected-regret bounds for FTL and decreasing Hedge under independent and $\varphi$-mixing expert losses. Under a positive gap between the best expert's expected loss and those of its competitors, the bounds are uniform in the number of forecasting rounds and exhibit logarithmic dependence on the number of experts. Monte Carlo experiments investigate the effects of temporal dependence and the separation between experts' expected losses. Empirically, we construct MFESN ensembles for forecasting U.S. quarterly GDP growth using mixed-frequency macroeconomic and financial indicators. The results show that adaptive aggregation, particularly FTL and AdaHedge, achieves substantial reductions in out-of-sample mean squared forecasting error relative to individual MFESN models and conventional forecast combinations.
作者备注：Revised manuscript with updated theoretical results, extended empirical analysis, and new simulations
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v3 · 2026-10-30 00:33 · 最新观测版本
From Many Models, One: Macroeconomic Forecasting with Reservoir Ensembles
Model combination offers an alternative to selecting a single forecasting model, particularly when individual models are sensitive to random initialization and hyperparameter choices. We study online aggregation through Follow-the-Leader (FTL) and Hedge-type algorithms, with an application to ensembles of Multi-Frequency Echo State Networks (MFESNs) for macroeconomic forecasting. On the theoretical side, we derive Hoeffding- and Bernstein-type expected-regret bounds for FTL and decreasing Hedge under independent and $\varphi$-mixing expert losses. Under a positive gap between the best expert's expected loss and those of its competitors, the bounds are uniform in the number of forecasting rounds and exhibit logarithmic dependence on the number of experts. Monte Carlo experiments investigate the effects of temporal dependence and the separation between experts' expected losses. Empirically, we construct MFESN ensembles for forecasting U.S. quarterly GDP growth using mixed-frequency macroeconomic and financial indicators. The results show that adaptive aggregation, particularly FTL and AdaHedge, achieves substantial reductions in out-of-sample mean squared forecasting error relative to individual MFESN models and conventional forecast combinations.
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