In addition, it should be pointed out the hybrid or ensemble
approach we take is related to (although different from) formal
Bayesian consideration. In particular, no prior distribution will be specified
for parameters in all developed models, as mentioned in previous chapters.
The motivation of this chapter is how to deal with the two dilemmas of
selecting and combining for time series forecasting (in particular, foreign
exchange rates forecasting problem) and meantime propose a solution to
the two dilemmas. The rest of the chapter is organized as follows. The next
section describes the procedure for dealing with the two dilemmas of selecting
and combining in detail. To verify the effectiveness of the proposed