On the Benefit of Using Time Series Features for Choosing a Forecasting Method.

Lemke, C. and Gabrys, B., 2008. On the Benefit of Using Time Series Features for Choosing a Forecasting Method. In: 2nd European Symposium on Time Series Prediction, 17-19 Sep 2008, Porvoo, Finland.

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Abstract

In research of time series forecasting, a lot of uncertainty is still related to the question of which forecasting method to use in which situation. One thing is obvious: There is no single method that performs best on all time series. This work examines whether features extracted from time series can be exploited for a better understanding of different behaviour of forecasting algorithms. An extensive pool of automatically computable features is identified, which is submitted to feature selection algorithms. Finally, a possible relationship between these features and the performance of forecasting and forecast combination methods for the particular series is investigated.

Item Type:Conference or Workshop Item (Paper)
Subjects:Generalities > Computer Science and Informatics > Artificial Intelligence
Generalities > Computer Science and Informatics
Group:School of Design, Engineering & Computing
ID Code:8514
Deposited By:INVALID USER
Deposited On:19 Dec 2008 19:33
Last Modified:07 Mar 2013 15:02

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