Prediction of hierarchical time series using structured regularization and its application to artificial neural networks

• URL: http://arxiv.org/abs/2007.15159v1
• Date: Thu, 30 Jul 2020 00:30:32 GMT
• Title: Prediction of hierarchical time series using structured regularization and its application to artificial neural networks
• Authors: Tomokaze Shiratori and Ken Kobayashi and Yuichi Takano
• Abstract summary: We discuss the prediction of hierarchical time series, where each upper-level time series is calculated by summing appropriate lower-level time series. Forecasts for such hierarchical time series should be coherent, meaning that the forecast for an upper-level time series equals the sum of forecasts for corresponding lower-level time series.
• Score: 4.696083734269231
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: This paper discusses the prediction of hierarchical time series, where each upper-level time series is calculated by summing appropriate lower-level time series. Forecasts for such hierarchical time series should be coherent, meaning that the forecast for an upper-level time series equals the sum of forecasts for corresponding lower-level time series. Previous methods for making coherent forecasts consist of two phases: first computing base (incoherent) forecasts and then reconciling those forecasts based on their inherent hierarchical structure. With the aim of improving time series predictions, we propose a structured regularization method for completing both phases simultaneously. The proposed method is based on a prediction model for bottom-level time series and uses a structured regularization term to incorporate upper-level forecasts into the prediction model. We also develop a backpropagation algorithm specialized for application of our method to artificial neural networks for time series prediction. Experimental results using synthetic and real-world datasets demonstrate the superiority of our method in terms of prediction accuracy and computational efficiency.

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