A Gibbs posterior over linear pool weights, built by exponentiating a CRPS-based risk, gives forecast ensemble weights with uncertainty estimates and often improves on BMA, AVS, and equal weighting.
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Bayesian Stacking via Proper Scoring Rule Optimization using a Gibbs Posterior
A Gibbs posterior over linear pool weights, built by exponentiating a CRPS-based risk, gives forecast ensemble weights with uncertainty estimates and often improves on BMA, AVS, and equal weighting.