A combination-based forecasting method for the M4-competition

By Srihari Jaganathan, P. Prakash. 2020

30 citations recorded by the source corpus.

Abstract Several researchers (Armstrong, 2001; Clemen, 1989; Makridakis and Winkler, 1983) have shown empirically that combination-based forecasting methods are very effective in real world settings. This paper discusses a combination-based forecasting approach that was used successfully in the M4 competition. The proposed approach was evaluated on a set of 100K time series across multiple domain areas with varied frequencies. The point forecasts submitted finished fourth based on the overall weighted average (OWA) error measure and second based on the symmetric mean absolute percent error (sMAPE).

Subfields: Economics and Econometrics, Management Science and Operations Research