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Forecasting with time series imaging
Feature-based time series representations have attracted substantial
attention in a wide range of time series analysis methods. Recently, the use of
time series features for forecast model averaging has been an emerging research
focus in the forecasting community. Nonetheless, most of the existing
approaches depend on the manual choice of an appropriate set of features.
Exploiting machine learning methods to extract features from time series
automatically becomes crucial in state-of-the-art time series analysis. In this
paper, we introduce an automated approach to extract time series features based
on time series imaging. We first transform time series into recurrence plots,
from which local features can be extracted using computer vision algorithms.
The extracted features are used for forecast model averaging. Our experiments
show that forecasting based on automatically extracted features, with less
human intervention and a more comprehensive view of the raw time series data,
yields highly comparable performances with the best methods in the largest
forecasting competition dataset (M4) and outperforms the top methods in the
Tourism forecasting competition dataset
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