We propose methods for constructing regularized mixtures of density forecasts. We explore a variety of objectives and regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts. All individual inflation forecasters (even the ex post best forecaster) are outperformed by our regularized mixtures. From the Great Recession onward, the optimal regularization tends to move density forecasts' probability mass from the centers to the tails, correcting for overconfidence.

翻译：我们提出了构建密度预测常规化混合物的方法。 我们探索了多种目标和正规化处罚,并用它们对欧元区通胀和实际利率密度预测进行实质性探索。 所有个体通胀预测者(即使是前最佳预测者 ) 都比我们的常规化混合物表现得更好。 从大衰退开始,最佳常规化倾向于将密度预测的概率从中心移到尾部,纠正过度自信。