Hall, Stephen G. (contributor); Mitchell, James (contributor) - 2004 - [Elektronische Ressource]
. Consider the case where the time-series {yt} is generated
according to yt = w1x1t+(1−w1)x2t, where{x1t}and{x2t}are othogonal … normally distributed processes.
Then if we consider two misspecified forecasting models, the first of which considers only x1t … and the
second only x2t, then the combined density based on directly combining the two misspecified density
forecasts, say …