New paper: Que será será? The uncertainty estimation of feature-based time series forecasts

Authors:  Xiaoqian WangYanfei KangFotios Petropoulos and Feng Li

Abstract:  Interval forecasts have significant advantages in providing uncertainty estimation to point forecasts, leading to the importance of providing prediction intervals (PIs) as well as point forecasts. In this paper, we propose a general feature-based time series forecasting framework, which is divided into “offline” and “online” parts. In the “offline” part, we explore how time series features connect with the prediction interval forecasting accuracy of different forecasting methods by exploring generalized additive models (GAMs), which makes our proposed framework interpretable in the effects of features on the interval forecasting accuracy. Our proposed framework is in essence a model averaging process and we introduce a threshold ratio for the selection of individual forecasting methods in this process. In the “online” part, we calculate the point forecasts and PIs of new series by pre-trained GAMs and the corresponding optimal threshold ratio. We illustrate that our feature-based forecasting framework outperforms all individual benchmark forecasting methods on M3 competition data, with an improved computational efficiency.

Links: Working Paper | Que será será

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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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