In this paper, we describe a mathematical framework of estimating the er-ror bounds of optimal combined forecasting (OCF) and the super-bound of nonoptimal combined forecasting errors. We also determine the existent interval [x,i,/n, X,,, /n] of the minimal errors square sum J of optimal combined forecasting. Furthermore, we give the relationships between the errors of the general combined forecasting method (including the simple average method) and the errors of each forecasting model in the combination by mathematics analysis.