New Paper: Forecasting with time series imaging

Authors: Xixi Li, Yanfei Kang and Feng Li

Abstract: Feature-based time series representation has attracted substantial attention in a wide range of time series analysis methods. Recently, the use of time series features for forecast model selection and model averaging has been an emerging research focus in the forecasting community. Nonetheless, most of the existing approaches depend on the manual choice of an appropriate set of features. Exploiting machine learning methods to automatically extract features from time series becomes crucially important in the state-of-the-art time series analysis. In this paper, we introduce an automated approach to extract time series features based on images. Time series are first transformed into recurrence images, from which local features can be extracted using computer vision algorithms. The extracted features are used for forecast model selection and model averaging. Our experiments show that forecasting based on automatically extracted features, with less human intervention and a more comprehensive view of the raw time series data, yields comparable performances with the top best methods proposed in the largest forecasting competition M4.

Links: Working Paper

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By Feng Li

Dr. Feng Li is an Associate Professor of Statistics in the School of Statistics and Mathematics at Central University of Finance and Economics in Beijing, China. Feng obtained his Ph.D. degree in Statistics from Stockholm University, Sweden in 2013. His research interests include Bayesian computation, econometrics and forecasting, and distributed learning. His recent research output appeared in statistics and forecasting journals such as the International Journal of Forecasting and Statistical Analysis and Data Mining, AI journals such as Expert Systems with Applications, and medical journals such as BMJ Open.

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