| Article ID: | iaor20032170 |
| Country: | United States |
| Volume: | 32 |
| Issue: | 3 |
| Start Page Number: | 453 |
| End Page Number: | 471 |
| Publication Date: | Jul 2001 |
| Journal: | Decision Sciences |
| Authors: | Li Kim-Hung, Wong Heung, Troutt Marvin |
| Keywords: | financial |
In this paper we propose a consensus forecasting method based on a convex combination of individual forecast densities. The exact Bayesian updating of the convex combination weights is very complex and practically prohibitive. We propose a simple sequential updating alternative method based on function approximation. Several examples illustrate the method.