I have three different linear, multi-variate time series models with a best fit against the same observed value $Y$ at 1 minute, 3 minutes and 10 minutes horizons respectively. Each model is using different predictors data. There is no serial correlation or ARIMA involved here.
I want to blend the three models to predict $Y$ every second, on a rolling base. The prediction for the three models is thus overlapping. For example, at time $t_3$ minutes, we'll have the prediction for the first and second model colliding (third prediction for the 1 minute model and first for the 3 minutes model).
How should I approach the problem?