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A non‐linear combination of experts' forecasts: A Bayesian approach
Author(s) -
Tibiletti Luisa
Publication year - 1994
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.3980130104
Subject(s) - bayesian probability , monotonic function , computer science , econometrics , mathematics , machine learning , artificial intelligence , statistics , mathematical analysis
A general Bayesian approach to combining n expert forecasts is developed. Under some moderate assumptions on the distributions of the expert errors, it leads to a consistent, monotonic, quasi‐linear average formula. This generalizes Bordley's results.