A Method for Pooling Forecasts

Abstract

A group of experts is to produce a joint forecast of a set of unknowns. Each expert is asked to distribute subjectively a given sum of confidence weights over his own forecasts. A joint forecast is computed as the product sum of the individual forecasts and weights deduced from the individual's weights. A probabilistic interpretation of this procedure is provided and a measure of the reliability of the joint forecasts is suggested. A Bayesian variant can be constructed by introducing sample information.