We consider S-estimators of multivariate location and common dispersion matrix in multiple populations. Instead of averaging the robust estimates of the individual covariance matrices, as used by Todorov, Neykov and Neytchev (1990), the observations are pooled for estimating the common...

Paper shows that, under assumption that the single forecasts which enter the combination are unbiased, imposing some constraints on coordinates of <em>M </em>-estimator (of corresponding regression coefficients) leads to a gain in the asymptotic variance of one-step forward prediction evaluated by means...