### Predictive properties of forecast combination, ensemble methods, and Bayesian predictive synthesis. (arXiv:1911.08662v1 [math.ST])

This paper studies the theoretical predictive properties of classes of forecast combination methods. The study is motivated by the recently developed Bayesian framework for synthesizing predictive densities: Bayesian predictive synthesis. A novel strategy based on continuous time stochastic processes is proposed and developed, where the combined predictive error processes are expressed as stochastic differential equations,…