Article (Scientific journals)
A review and comparison of strategies for multi-step ahead time series forecasting based on the NN5 forecasting competition
Ben taieb, Souhaib; Bontempi, Gianluca; Atiya, Amir F. et al.
2012In Expert Systems with Applications, 39 (8), p. 7067 - 7083
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Keywords :
Friedman test; Lazy Learning; Long-term forecasting; Machine learning; Multi-step ahead forecasting; NN5 forecasting competition; Strategies of forecasting; Time series forecasting; Lazy learning; Multi-step; Engineering (all); Computer Science Applications; Artificial Intelligence; General Engineering
Abstract :
[en] Multi-step ahead forecasting is still an open challenge in time series forecasting. Several approaches that deal with this complex problem have been proposed in the literature but an extensive comparison on a large number of tasks is still missing. This paper aims to fill this gap by reviewing existing strategies for multi-step ahead forecasting and comparing them in theoretical and practical terms. To attain such an objective, we performed a large scale comparison of these different strategies using a large experimental benchmark (namely the 111 series from the NN5 forecasting competition). In addition, we considered the effects of deseasonalization, input variable selection, and forecast combination on these strategies and on multi-step ahead forecasting at large. The following three findings appear to be consistently supported by the experimental results: Multiple-Output strategies are the best performing approaches, deseasonalization leads to uniformly improved forecast accuracy, and input selection is more effective when performed in conjunction with deseasonalization. © 2011 Elsevier Ltd. All rights reserved.
Disciplines :
Computer science
Author, co-author :
Ben taieb, Souhaib  ;  Université de Mons - UMONS > Faculté des Sciences > Service Big Data and Machine Learning
Bontempi, Gianluca;  Machine Learning Group, Département d'Informatique, Université Libre de Bruxelles, Belgium
Atiya, Amir F.;  Faculty of Engineering, Cairo University, Giza, Egypt
Sorjamaa, Antti;  Environmental and Industrial Machine Learning Group, Adaptive Informatics Research Centre, Altoo University School of Science, Finland
Language :
English
Title :
A review and comparison of strategies for multi-step ahead time series forecasting based on the NN5 forecasting competition
Publication date :
15 June 2012
Journal title :
Expert Systems with Applications
ISSN :
0957-4174
eISSN :
1873-6793
Publisher :
Elsevier Ltd
Volume :
39
Issue :
8
Pages :
7067 - 7083
Peer reviewed :
Peer Reviewed verified by ORBi
Research unit :
S861 - Big Data and Machine Learning
Research institute :
Infortech
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