In this paper we investigate whether and how far density forecasts sensibly can be combined to produce a “better” pooled density forecast. In so doing we bring together two important but hitherto largely unrelated areas of the forecasting literature in economics, density forecasting and forecast combination. We provide simple Bayesian methods of pooling information across alternative density fo...

three combination methods commonly used in tourism forecasting are the simple average method, the variance-covariance method and the discounted msfe method. these methods assign the different weights that can not change at each time point to each individual forecasting model. in this study, we introduce the iowga operator combination method which can overcome the defect of previous three combin...

In this paper, we build upon a recently proposed forecast combination-based approach to the reconciliation of simple hierarchy (Hollyman R., Petropoulos F., Tipping M.E., Understanding reconciliation, European Journal Operational Research , 2021, 294, 149–160) and extend it in some new directions. particular, provide insights into nature mathematical derivation level- l conditional coherent ( L...

This paper considers the problem of forecast combination when forecasts are generated from the same model but use different estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or more structural breaks. The analysis is then extended to a linear regression model with an exogenous regressor. It is shown that compared to foreca...

In this paper we test several forecast combination methods on industrial demand and forecast data from a semiconductor company. The tested combination methods include four popular methods existing in the literature, and new methods proposed in a companion paper. There are two forecasts to be combined: a time series forecast and a marketing forecast. According to the experiments, combining diffe...