A combination-based forecasting method for the M4-competition

Srihari Jaganathan and P.K.S. Prakash

International Journal of Forecasting, 2020, vol. 36, issue 1, 98-104

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).

Keywords: M competition; Forecasting competitions; Combining forecasts; Time series forecasting; M4 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:36:y:2020:i:1:p:98-104

DOI: 10.1016/j.ijforecast.2019.03.030

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