Forecast combinations
13.4 Forecast combinations | Forecasting: Principles and Practice (3rd ed)
An easy way to improve forecast accuracy is to use several different methods on the same time series, and to average the resulting forecasts. Over 50 years ago, John Bates and Clive Granger wrote a famous paper (Bates & Granger, 1969), showing that combining forecasts often leads to better forecast accuracy. Twenty years later, Clemen (1989) wrote
The results have been virtually unanimous: combining multiple forecasts leads to increased forecast accuracy. In many cases one can make dramatic performance improvements by simply averaging the forecasts.
While there has been considerable research on using weighted averages, or some other more complicated combination approach, using a simple average has proven hard to beat (Wang et al., 2023).