Many fields or disciplines (e.g., uncertainty analysis in measurement science) require a combination of probability distributions. This technical note examines three methods for combining probability distributions: weighted linear pooling, geometric pooling, and the law of combination of distributions (LCD). Although these methods have been discussed in the literature, a systematic comparison of them appears insufficient. In particular, there is no discussion in the literature regarding the potential information loss that these methods may cause. This technical note aims to fill this gap. It provides insights into these three methods under the normality assumption. It shows that the weighted linear pooling method preserves all the variability (including heterogeneity) information in the original distributions; neither the geometric pooling method nor the LCD method preserves all the variability information, leading to information loss. We propose an index for measuring the information loss of a method with respect to the weighted linear pooling method. This technical note also shows that the weighted linear pooling method can be used as an alternative to the traditional random-effects meta-analysis. Three examples are presented: the combination of two normal distributions, the combination of three discrete distributions, and the determination of the Newtonian constant of gravitation.
Hening Huang (Sun,) studied this question.