Forecasting with trees

doi:10.1016/j.ijforecast.2021.10.004

Forecasting with trees

2022-10-01

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DOI：10.1016/j.ijforecast.2021.10.004

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The prevalence of approaches based on gradient boosted trees among the top contestants in the M5 competition is potentially the most eye-catching result. Tree-based methods out-shone other solutions, in particular deep learning-based solutions. The winners in both tracks of the M5 competition heavily relied on them. This prevalence is even more remarkable given the dominance of other methods in the literature and the M4 competition. This article tries to explain why tree-based methods were so widely used in the M5 competition. We see possibilities for future improvements of tree-based models and then distill some learnings for other approaches, including but not limited to neural networks.(c) 2021 The Author(s). Published by Elsevier B.V. on behalf of International Institute of Forecasters. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).

Keywords:

Random forests

Probabilistic forecasting

Gradient Boosted Trees

Global forecasting models

Deep Learning

Forecasting with trees

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