A mere placeholder. For now see Ensemble learning on Wikipedia
Train a bunch of different models and use them all. Fashionable in the form of blending, stacking or staging in machine learning competitions, but also popular in classic frequentist inference as model averaging or bagging, or in e.g. posterior predictives in Bayes inference, which especially in the MCMC methods are easy to interpret as weighted ensembles.
I’ve seen the idea pop up in disconnected areas recently. Specifically: a Bayesian heuristic for dropout in neural nets, AIC for frequentist model averaging, Neural net ensembles, boosting/bagging, and in a statistical learning context for optimal time series prediction.
This vexingly incomplete article points out that something like model averaging might work for any convex loss thanks to Jensen’s inequality. I am most used to it with K-L loss.
Two articles (Clarke 2003; Minka 2002) point out that model averaging and combination are not the same and the difference is acute in the M-open setting.
Forecasting
Time series prediction? Try ensemble methods for time series.
References
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