Projects per year
Abstract
Many businesses and industries require accurate forecasts for weekly time series nowadays. However, the forecasting literature does not currently provide easy-to-use, automatic, reproducible and accurate approaches dedicated to this task. We propose a forecasting method in this domain to fill this gap, leveraging state-of-the-art forecasting techniques, such as forecast combination, meta-learning, and global modelling. We consider different meta-learning architectures, algorithms, and base model pools. Based on all considered model variants, we propose to use a stacking approach with lasso regression which optimally combines the forecasts of four base models: a global Recurrent Neural Network (RNN) model, Theta, Trigonometric Box–Cox ARMA Trend Seasonal (TBATS), and Dynamic Harmonic Regression ARIMA (DHR-ARIMA), as it shows the overall best performance across seven experimental weekly datasets on four evaluation metrics. Our proposed method also consistently outperforms a set of benchmarks and state-of-the-art weekly forecasting models by a considerable margin with statistical significance. Our method can produce the most accurate forecasts, in terms of mean sMAPE, for the M4 weekly dataset among all benchmarks and all original competition participants.
Original language | English |
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Pages (from-to) | 641-658 |
Number of pages | 18 |
Journal | International Journal of Forecasting |
Volume | 39 |
Issue number | 2 |
DOIs | |
Publication status | Published - Apr 2023 |
Keywords
- Ensembling
- Global models
- Meta-learning
- Time Series
- Weekly forecasting
Projects
- 1 Finished
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Efficient and effective analytics for real-world time series forecasting
Bergmeir, C.
Australian Research Council (ARC)
18/02/19 → 31/12/22
Project: Research