Composite Forecasting: An Integrated Approach and Optimality Reconsidered
组合预测：统一方法与最优性的再考察
This article shows when the theoretical Lagrange multiplier solution for combining forecasts has a regression representation. This solution is not optimal in general because it imposes a restriction on an otherwise more general linear form. The optimal linear predictor based on N forecasts is presented. This predictor is or is not a regression function depending on whether the latter function is linear. I also show that the Lagrange multiplier solution may often be nearly…