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Unstable weights in the combination of forecasts. (English) Zbl 0587.62176

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.

MSC:

62M20 Inference from stochastic processes and prediction
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