Ensembles of Localised Models for Time Series Forecasting

• URL: http://arxiv.org/abs/2012.15059v1
• Date: Wed, 30 Dec 2020 06:33:51 GMT
• Title: Ensembles of Localised Models for Time Series Forecasting
• Authors: Rakshitha Godahewa, Kasun Bandara, Geoffrey I. Webb, Slawek Smyl, Christoph Bergmeir
• Abstract summary: We study how ensembling techniques can be used with generic GFMs and univariate models to solve this issue. Our work systematises and compares relevant current approaches, namely clustering series and training separate submodels per cluster. We propose a new methodology of clustered ensembles where we train multiple GFMs on different clusters of series.
• Score: 7.199741890914579
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: With large quantities of data typically available nowadays, forecasting models that are trained across sets of time series, known as Global Forecasting Models (GFM), are regularly outperforming traditional univariate forecasting models that work on isolated series. As GFMs usually share the same set of parameters across all time series, they often have the problem of not being localised enough to a particular series, especially in situations where datasets are heterogeneous. We study how ensembling techniques can be used with generic GFMs and univariate models to solve this issue. Our work systematises and compares relevant current approaches, namely clustering series and training separate submodels per cluster, the so-called ensemble of specialists approach, and building heterogeneous ensembles of global and local models. We fill some gaps in the approaches and generalise them to different underlying GFM model types. We then propose a new methodology of clustered ensembles where we train multiple GFMs on different clusters of series, obtained by changing the number of clusters and cluster seeds. Using Feed-forward Neural Networks, Recurrent Neural Networks, and Pooled Regression models as the underlying GFMs, in our evaluation on six publicly available datasets, the proposed models are able to achieve significantly higher accuracy than baseline GFM models and univariate forecasting methods.

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