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...

Probabilistic forecasts are necessary for robust decisions in the face of uncertainty. The M5 Uncertainty competition required participating teams to forecast nine quantiles for unit sales of various products at various aggregation levels and for different time horizons. This paper evaluates the...