Forecast combinations: an over 50-year review

Forecast combinations have flourished remarkably in the forecasting community and, in recent years, have become part of the mainstream of forecasting research and activities. Combining multiple forecasts produced from the single (target) series is now widely used to improve accuracy through the integration of information gleaned from different sources, thereby mitigating the risk of identifying a single ``best'' forecast. Combination schemes have evolved from simple combination methods without estimation, to sophisticated methods involving time-varying weights, nonlinear combinations, correlations among components, and cross-learning.