Forecasting with Machine Learning

For years, people have been forecasting weather patterns, economic and political events, sports outcomes, and more. In this paper we discussed the ways of using machine learning in forecasting, machine learning is a branch of computer science where algorithms learn from data. The fundamental problem for machine learning and time series is the same: to predict new outcomes based on previously known results. Using the suitable technique of machine learning depend on how much data you have, how noisy the data is, and what kind of new features can be derived from the data. But these techniques can improve accuracy and don’t have to be difficult to implement

Multi-resolution forecast aggregation for time series in agri datasets

A wide variety of phenomena are characterized by time dependent dynamics that can be analyzed using time series methods. Various time series analysis techniques have been presented, each addressing certain aspects of the data. In time series analysis, forecasting is a challenging problem when attempting to estimate extended time horizons which effectively encapsulate multi-step-ahead (MSA) predictions. Two original solutions to MSA are the direct and the recursive approaches. Recent studies have mainly focused on combining previous methods as an attempt to overcome the problem of discarding sequential correlation in the direct strategy or accumulation of error in the recursive strategy. This paper introduces a technique known as Multi-Resolution Forecast Aggregation (MRFA) which incorporates an additional concept known as Resolutions of Impact. MRFA is shown to have favourable prediction capabilities in comparison to a number of state of the art methods

Application of RBFNNs Incorporating MIMO Processes for Simultaneous River Flow Forecasting

Simultaneous flow forecasting using multi-input multi-output (MIMO) processes is an efficient technique for accurate flow forecasting on river systems. The present study demonstrates the capability of radial basis function neural networks (RBFNN) incorporating MIMO processes in simultaneous river flow forecasting. The river system considered in the present study was the Barak river system, Assam, India. Hourly concurrent discharge data were collected from the Central Water Commission, Shillong, India from multiple sections of the Barak river system. The forecasts were tested for short-range time horizons, i.e. 1, 3, 6 and 12 hours in advance, and a comparative analysis was done using the popular Nonlinear Autoregressive with Exogenous Inputs (NARX) time series model. The result shows that MIMO-NARX provided higher prediction accuracy than MIMO-RBFNN, even at longer lead times when compared to following various statistical criterions

1D-CapsNet-LSTM: A Deep Learning-Based Model for Multi-Step Stock Index Forecasting

Multi-step stock index forecasting is vital in finance for informed decision-making. Current forecasting methods on this task frequently produce unsatisfactory results due to the inherent data randomness and instability, thereby underscoring the demand for advanced forecasting models. Given the superiority of capsule network (CapsNet) over CNN in various forecasting and classification tasks, this study investigates the potential of integrating a 1D CapsNet with an LSTM network for multi-step stock index forecasting. To this end, a hybrid 1D-CapsNet-LSTM model is introduced, which utilizes a 1D CapsNet to generate high-level capsules from sequential data and a LSTM network to capture temporal dependencies. To maintain stochastic dependencies over different forecasting horizons, a multi-input multi-output (MIMO) strategy is employed. The model's performance is evaluated on real-world stock market indices, including S&P 500, DJIA, IXIC, and NYSE, and compared to baseline models, including LSTM, RNN, and CNN-LSTM, using metrics such as RMSE, MAE, MAPE, and TIC. The proposed 1D-CapsNet-LSTM model consistently outperforms baseline models in two key aspects. It exhibits significant reductions in forecasting errors compared to baseline models. Furthermore, it displays a slower rate of error increase with lengthening forecast horizons, indicating increased robustness for multi-step forecasting tasks

Interval Forecasting of Carbon Futures Prices Using a Novel Hybrid Approach with Exogenous Variables

This paper examines the interval forecasting of carbon futures prices in one of the most important carbon futures market. Specifically, the purpose of this study is to present a novel hybrid approach, which is composed of multioutput support vector regression (MSVR) and particle swarm optimization (PSO), in the task of forecasting the highest and lowest prices of carbon futures on the next trading day. Furthermore, we set out to investigate if considering some potential predictors, which have strong influence on carbon futures prices, in modeling process is useful for achieving better prediction performance. Aiming at testing its effectiveness, we benchmark the forecasting performance of our approach against four competitors. The daily interval prices of carbon futures contracts traded in the Intercontinental Futures Exchange from August 12, 2010, to November 13, 2014, are used as the experiment dataset. The statistical significance of the interval forecasts is examined. The proposed hybrid approach is found to demonstrate the higher forecasting performance relative to all other competitors. Our application offers practitioners a promising set of results with interval forecasting in carbon futures market

A review and comparison of strategies for multi-step ahead time series forecasting based on the NN5 forecasting competition

Multi-step ahead forecasting is still an open challenge in time series forecasting. Several approaches that deal with this complex problem have been proposed in the literature but an extensive comparison on a large number of tasks is still missing. This paper aims to fill this gap by reviewing existing strategies for multi-step ahead forecasting and comparing them in theoretical and practical terms. To attain such an objective, we performed a large scale comparison of these different strategies using a large experimental benchmark (namely the 111 series from the NN5 forecasting competition). In addition, we considered the effects of deseasonalization, input variable selection, and forecast combination on these strategies and on multi-step ahead forecasting at large. The following three findings appear to be consistently supported by the experimental results: Multiple-Output strategies are the best performing approaches, deseasonalization leads to uniformly improved forecast accuracy, and input selection is more effective when performed in conjunction with deseasonalization

Hybrid Methods for Time Series Forecasting

Time series forecasting is a crucial task in various fields of business and science. There are two coexisting approaches to time series forecasting, which are statistical methods and machine learning methods. Both come with different strengths and limitations. Statistical methods such as the Holt-Winters’ Method or ARIMA have been practiced for decades. They stand out due to their robustness and flexibility. Furthermore, these methods work well when few data is available and can exploit a priori knowledge. However, statistical methods assume linear relationships in the data, which is not necessarily the case in real-world data, inhibiting forecasting performance. On the other hand, machine learning methods such as Multilayer Perceptrons or Long Short-Term Memory Networks do not have the assumption of linearity and have the exceptional advantage of universally approximating almost any function. In addition to that, machine learning methods can exploit cross-series information to enhance an individual forecast. Besides these strengths, machine learning methods face several limitations in terms of data and computation requirements. Hybrid methods promise to advance time series forecasting by combining the best of statistical and machine learning methods. The fundamental idea is that the combination compensates for the limitations of one approach with the strengths of the other. This thesis shows that the combination of a Holt-Winters’ Method and a Long Short-Term Memory Network is promising when the periodicity of a time series can be precisely specified. The precise specification enables the Holt-Winters’ Method to simplify the forecasting task for the Long Short-Term Memory Network and, consequently, facilitates the hybrid method to obtain accurate forecasts. The research question to be answered is which characteristics of a time series determine the superiority of either statistical, machine learning, or hybrid approaches. The result of the conducted experiment shows that this research question can not be answered generally. Nevertheless, the results propose findings for specific forecasting methods. The Holt-Winters’ Method provides reliable forecasts when the periodicity can be precisely determined. ARIMA, however, handles overlying seasonalities better than the Holt-Winters’ Method due to its autoregressive approach. Furthermore, the results suggest the hypothesis that machine learning methods have difficulties extrapolating time series with trend. Finally, the Multilayer Perceptron can conduct accurate forecasts for various time series despite its simplicity, and the Long Short-Term Memory Network proves that it needs relevant datasets of adequate length to conduct accurate forecasts