Before revision: This paper studies the theoretical predictive properties of classes of forecast combination methods. A novel strategy based on continuous time stochastic processesis proposed and developed , where the combined predictive error processes are expressed as stochastic differential equations, evaluated using Ito 's lemma.
After revision: This paper studies the theoretical predictive properties of classes of ensemble methods, including the recently developed Bayesian predictive synthesis (BPS). We develop a novel strategy based on continuous time stochastic processesis proposed and developed , where the combined predictive error processes are expressed as stochastic differential equations, evaluated using Ito 's lemma.