COMBINING INFORMATION IN STATISTICAL MODELING

How to combine information from different sources is becoming an impor tant statistical area of research under the name of Meta-Analysis. Thi s paper shows that the estimation of a parameter or the forecast of a random variable can also be seen as a process of combining information . It is shown that this approach can provide some useful insights on t he robustness properties of some statistical procedures, and it also a llows the comparison of statistical models within a common framework. Some general combining rules are illustrated using examples from ANOVA analysis, diagnostics in regression, time series forecasting, missing value estimation, and recursive estimation using the Kalman filter.