Combination of Forecasts: An Extension
提出一种新的预测组合方法，能轻松加入主观和实证信息，权重直观且不依赖大量历史数据，模拟实验表明该方法稳健且优于现有方法。
Existing approaches to combining multiple forecasts generally offer either theoretical richness or empirical robustness, but not both together. In this paper, we propose a new method for combining forecasts which attempts to overcome this imbalance. The method allows easy inclusion of relevant subjective and empirical information about the forecasts, while providing weights which are: (i) intuitively meaningful, and (ii) not dependent upon large numbers of observations of prior forecast accuracy. Results of a simulation experiment show the method to be highly robust, and significantly superior to existing approaches under many conditions.