Handling Concept Drift in Global Time Series Forecasting

Ziyi Liu (), Rakshitha Godahewa (), Kasun Bandara () and Christoph Bergmeir ()
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Ziyi Liu: Monash University
Rakshitha Godahewa: Monash University
Kasun Bandara: University of Melbourne
Christoph Bergmeir: Monash University

Chapter Chapter 7 in Forecasting with Artificial Intelligence, 2023, pp 163-189 from Palgrave Macmillan

Abstract: Abstract Machine learning (ML) based time series forecasting models often require and assume certain degrees of stationarity in the data when producing forecasts. However, in many real-world situations, the data distributions are not stationary and they can change over time while reducing the accuracy of the forecasting models, which in the ML literature is known as concept drift. Handling concept drift in forecasting is essential for many ML methods in use nowadays, however, the prior work only proposes methods to handle concept drift in the classification domain. To fill this gap, we explore concept drift handlingConcept drift handling methods in particular for Global Forecasting Models (GFM) which recently have gained popularity in the forecasting domain. We propose two new concept drift handlingConcept drift handling methods, namely Error Contribution Weighting (ECW)Error Contribution Weighting (ECW) and Gradient Descent Weighting (GDW)Gradient Descent Weighting (GDW), based on a continuous adaptive weighting concept. These methods use two forecasting models which are separately trained with the most recent series and all series, and finally, the weighted average of the forecasts provided by the two models is considered as the final forecasts. Using LightGBM as the underlying base learner, in our evaluationEvaluation on three simulated datasets, the proposed models achieve significantly higher accuracy than a set of statistical benchmarksBenchmarks and LightGBM baselines across four evaluation metrics.

Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:pal:paiecp:978-3-031-35879-1_7

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DOI: 10.1007/978-3-031-35879-1_7

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