Combining Forecasts: Operational Adjustments to Theoretically Optimal Rules
指出Winkler最优组合公式在实际中因需估计预测者统计特性而偏离理论最优，给出了两预测者的操作性最优策略，并提出一种启发式方法选择参数估计，通过模拟验证其有效性。
Clemen and Winkler (1985) have described the theoretical effectiveness of Winkler's (1981) formula for optimally combining forecasts. The optimality of Winkler's formula is, however, contingent on actually knowing the forecasters' statistical properties, i.e., the variances and covariances of their forecasts. In realistic applications, of course, these properties have to be estimated, usually from a set of prior forecasts. In this case we show how the “operationally optimal” combining strategy differs from Winkler's “theoretically optimal” formula. Specifically, we provide figures indicating the operationally optimal strategy for combining two forecasts. We then propose a heuristic to choose the best set of parameter estimates in combining any number of forecasters and demonstrate its effectiveness via simulation.