Time Series Embedding and Combination of Forecasts: A Reinforcement Learning Approach

Marcelo C. Medeiros and Jeronymo M. Pinro

Papers from arXiv.org

Abstract: The forecasting combination puzzle is a well-known phenomenon in forecasting literature, stressing the challenge of outperforming the simple average when aggregating forecasts from diverse methods. This study proposes a Reinforcement Learning - based framework as a dynamic model selection approach to address this puzzle. Our framework is evaluated through extensive forecasting exercises using simulated and real data. Specifically, we analyze the M4 Competition dataset and the Survey of Professional Forecasters (SPF). This research introduces an adaptable methodology for selecting and combining forecasts under uncertainty, offering a promising advancement in resolving the forecasting combination puzzle.

Date: 2025-08
New Economics Papers: this item is included in nep-cmp, nep-ets and nep-for
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