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Benchmarking Time Series Feature Extraction for Algorithm Selection
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AI
DOI：10.1007/978-3-032-05176-9_21.png)
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Abstract
En 中文
Effective selection of forecasting algorithms for time series data is a challenge in machine learning, impacting both predictive accuracy and efficiency. Metalearning, using features extracted from time series, offers a strategic approach to optimize algorithm selection. The utility of this approach depends on the amount of information the features contain about the behavior of the algorithms. Although there are several methods for systematic time series feature extraction, they have never been compared. This paper empirically analyzes the performance of each feature extraction method for algorithm selection and its impact on forecasting accuracy. Our study reveals that TSFRESH, TSFEATURES, and TSFEL exhibit comparable performance at algorithm selection accuracy, adeptly capturing time series characteristics essential for accurate algorithm selection. In contrast, Catch22 is found to be less effective for this purpose. In particular, TSFEL is identified as the most efficient method, balancing dimensionality and predictive performance. These findings provide insights for enhancing forecasting accuracy and efficiency through judicious selection of meta-feature extractors.
Keywords:
Forecasting
Algorithm Selection
Feature Extraction
Feature Engineering
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