Improving Automated Time Series Forecasting with the Use of Model Ensembles
Author | : Christopher Meade |
Publisher | : |
Total Pages | : 57 |
Release | : 2019 |
ISBN-10 | : OCLC:1103714855 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Improving Automated Time Series Forecasting with the Use of Model Ensembles written by Christopher Meade and published by . This book was released on 2019 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: There currently exist several "black box" software libraries for the automatic forecasting of time series. Popular among these are the 'forecast' and 'bsts' packages for R, which have functions to automatically fit several common classes of time series models, such as the autoregressive integrated moving average (ARIMA) and the family of exponential smoothing models, among others. It is often the case that what one gains from the ease in fitting these automatic methods comes at the cost of predictive performance. In this paper, we propose several methods to improve the prediction accuracy of automatic time series forecasting, all of which relate to creating ensembles of models automatically fit from these packages. We explore different ways that one can construct these ensembles and evaluate each on a benchmark time series dataset. In addition, we provide the R code used to construct these ensembles.