Forecast combination within and across models

[nickcox896]

Is it common approach to take a combination within the same class of models or it should be across different models.

For example can I take the combination of various ARIMA models if this combination leads to better RMSES?

[robjhyndman]

Either is fine. Any combinations tend to improve forecast accuracy, but you generally get better improvements if the forecasts are not too similar. See https://robjhyndman.com/publications/combinations/ for the theory

[nickcox896]

Thank you.