Correlated daily time series and forecasting in the M4 competition

Anti Ingel, Novin Shahroudi, Markus Kängsepp, Andre Tättar, Viacheslav Komisarenko and Meelis Kull

International Journal of Forecasting, 2020, vol. 36, issue 1, 121-128

Abstract: We participated in the M4 competition for time series forecasting and here describe our methods for forecasting daily time series. We used an ensemble of five statistical forecasting methods and a method that we refer to as the correlator. Our retrospective analysis using the ground truth values published by the M4 organisers after the competition demonstrates that the correlator was responsible for most of our gains over the naïve constant forecasting method. We identify data leakage as one reason for its success, due partly to test data selected from different time intervals, and partly to quality issues with the original time series. We suggest that future forecasting competitions should provide actual dates for the time series so that some of these leakages could be avoided by participants.

Keywords: Forecasting competitions; Time series; Correlation; Data leakage; Ensembling (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:36:y:2020:i:1:p:121-128

DOI: 10.1016/j.ijforecast.2019.02.018

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