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A combination-based forecasting method for the M4-competition
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DOI：10.1016/j.ijforecast.2019.03.030.png)
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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). (C) 2019 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
Keyword:
M competition
Forecasting competitions
Combining forecasts
Time series forecasting
M4
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