The combining of forecasts using recursive techniques with non‐stationary weights

Abstract

Abstract This paper evaluates six optimal and four ad hoc recursive combination methods on five actual data sets. The performance of all methods is compared to the mean and recursive least squares. A modification to one method is proposed and evaluated. The recursive methods were found to be very effective from start‐up on two of the data sets. Where the optimal methods worked well so did the ad hoc ones, suggesting that often combination methods allowing ‘local bias’ adjustment may be preferable to the mean forecast and comparable to the optimal methods.