Please use this identifier to cite or link to this item: http://repositorio.inesctec.pt/handle/123456789/7522
Title: Arbitrated Ensemble for Time Series Forecasting
Authors: Vítor Manuel Cerqueira
Luís Torgo
Pinto,F
Carlos Manuel Soares
Issue Date: 2017
Abstract: This paper proposes an ensemble method for time series forecasting tasks. Combining different forecasting models is a common approach to tackle these problems. State-of-the-art methods track the loss of the available models and adapt their weights accordingly. Metalearning strategies such as stacking are also used in these tasks. We propose a metalearning approach for adaptively combining forecasting models that specializes them across the time series. Our assumption is that different forecasting models have different areas of expertise and a varying relative performance. Moreover, many time series show recurring structures due to factors such as seasonality. Therefore, the ability of a method to deal with changes in relative performance of models as well as recurrent changes in the data distribution can be very useful in dynamic environments. Our approach is based on an ensemble of heterogeneous forecasters, arbitrated by a metalearning model. This strategy is designed to cope with the different dynamics of time series and quickly adapt the ensemble to regime changes. We validate our proposal using time series from several real world domains. Empirical results show the competitiveness of the method in comparison to state-of-the-art approaches for combining forecasters. © 2017, Springer International Publishing AG.
URI: http://repositorio.inesctec.pt/handle/123456789/7522
http://dx.doi.org/10.1007/978-3-319-71246-8_29
metadata.dc.type: conferenceObject
Publication
Appears in Collections:LIAAD - Articles in International Conferences

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