Forecast combinations: an over 50-year review. (arXiv:2205.04216v2 [stat.ME] UPDATED)

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 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 …

arxiv forecast review