Combining Interval Forecasts

30 Pages Posted: 5 Nov 2014 Last revised: 31 Mar 2016

See all articles by Anil Gaba

Anil Gaba

INSEAD – Decision Sciences

Ilia Tsetlin


Robert L. Winkler

Duke University - Fuqua School of Business

Date Written: March 31, 2016


When combining forecasts, a simple average of the forecasts performs well, often better than more sophisticated methods.

In a prescriptive spirit, we consider some other parsimonious, easy-to-use heuristics for combining interval forecasts and compare their performance with the benchmark provided by the simple average, using simulations from a model we develop and data sets with forecasts made by professionals in their domain of expertise.

The relative performance of the heuristics is influenced by the degree of overconfidence in and dependence among the individual forecasts, and different heuristics come out on top under different circumstances. The results provide some good, easy-to-use alternatives to the simple average, with an indication of when each might be preferable.

Keywords: Interval Forecasts, Combining Forecasts, Heuristics, Overconfidence

Suggested Citation

Gaba, Anil and Tsetlin, Ilia and Winkler, Robert L., Combining Interval Forecasts (March 31, 2016). INSEAD Working Paper No. 2016/23/DSC, Available at SSRN: or

Anil Gaba

INSEAD – Decision Sciences ( email )

1 Ayer Rajah Avenue
Singapore, Select 138676


Ilia Tsetlin (Contact Author)

INSEAD ( email )

Boulevard de Constance
77305 Fontainebleau Cedex

Robert L. Winkler

Duke University - Fuqua School of Business ( email )

Box 90120
Durham, NC 27708-0120
United States

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