Kang, Heejoon Unstable weights in the combination of forecasts. (English) Zbl 0587.62176 Manage. Sci. 32, 673-695 (1986). The weights used in the combination of forecasts are shown to be very unstable. Monte Carlo experiments show that when the underlying models are known, a composite forecast from a composite model is generally more accurate than the combination of the individual forecasts. A simple average is shown to be the best technique to use in practice, because the weights in the combination are so unstable. Cited in 7 Documents MSC: 62M20 Inference from stochastic processes and prediction Keywords:unstable weights; combination of forecasts; average PDFBibTeX XMLCite \textit{H. Kang}, Manage. Sci. 32, 673--695 (1986; Zbl 0587.62176) Full Text: DOI