The aim of this paper is to define prediction intervals based on multiplicative combination of
elementary density functions as an useful surrogate of the true unknown predictive model for the interest
random phenomenon. The specification of the weights associated to the individual density forecasts is
performed by considering the continuous ranked probability score (CRPS) and its
weighted extensions. A simple simulation study shows that, using a suitable weighted version of the CRPS,
the estimated combined model provides prediction intervals having a coverage probability closed to the target
nominal value.
