Optimal Prediction Pools

@inproceedings{Geweke2008OptimalPP,
  title={Optimal Prediction Pools},
  author={John Geweke and Gianni Amisano},
  year={2008}
}
A prediction model is any statement of a probability distribution for an outcome not yet observed. This study considers the properties of weighted linear combinations of n prediction models, or linear pools, evaluated using the conventional log predictive scoring rule. The log score is a concave function of the weights and, in general, an optimal linear combination will include several models with positive weights despite the fact that exactly one model has limiting posterior probability one… CONTINUE READING
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