论文标题
在M4竞赛中相关的每日时间序列和预测
Correlated daily time series and forecasting in the M4 competition
论文作者
论文摘要
我们参加了M4竞赛时间序列预测，并在此处描述了我们预测日常时间序列的方法。我们使用了五种统计预测方法的集合和一种我们称为相关器的方法。我们使用M4组织者发表的基础真实价值的回顾性分析表明，相关器负责我们对天真常数预测方法的大部分收益。我们将数据泄漏确定为成功的原因之一，部分原因是从不同的时间间隔选择的测试数据，部分原因是原始时间序列中的质量问题。我们建议未来的预测比赛应为时间序列提供实际日期，以便参与者可以避免其中一些泄漏。
We participated in the M4 competition for time series forecasting and describe here 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 naive constant forecasting method. We identify data leakage as one reason for its success, partly due to test data selected from different time intervals, and partly due to quality issues in the original time series. We suggest that future forecasting competitions should provide actual dates for the time series so that some of those leakages could be avoided by the participants.
