Advances in forecasting with neural networks? Empirical evidence from the NN3 competition on time series prediction

This paper reports the results of the NN3 competition, which is a replication of the M3 competition with an extension of the competition towards neural network (NN) and computational intelligence (CI) methods, in order to assess what progress has been made in the 10 years since the M3 competition. Two masked subsets of the M3 monthly industry data, containing 111 and 11 empirical time series respectively, were chosen, controlling for multiple data conditions of time series length (short/long), data patterns (seasonal/non-seasonal) and forecasting horizons (short/medium/long). The relative forecasting accuracy was assessed using the metrics from the M3, together with later extensions of scaled measures, and non-parametric statistical tests. The NN3 competition attracted 59 submissions from NN, CI and statistics, making it the largest CI competition on time series data. Its main findings include: (a) only one NN outperformed the damped trend using the sMAPE, but more contenders outperformed the AutomatANN of the M3; (b) ensembles of CI approaches performed very well, better than combinations of statistical methods; (c) a novel, complex statistical method outperformed all statistical and Cl benchmarks; and (d) for the most difficult subset of short and seasonal series, a methodology employing echo state neural networks outperformed all others. The NN3 results highlight the ability of NN to handle complex data, including short and seasonal time series, beyond prior expectations, and thus identify multiple avenues for future research. (C) 2011 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved

Misbehaving, misdesigning and miscommunicating

It’s said that there are two kinds of sins: sins of omission and sins of commission. In this short commentary, the authors try to unfold some of the sins committed by forecast users and vendors and also comment on the miscommunication of forecast uncertainty from the perspective both of users and systems

Efficient Private Information Retrieval

A vast amount of today\u27s Internet users\u27 on line activities consists of queries to various types of databases. From traditional search engines to modern cloud based services, a person\u27s everyday queries over a period of time on various data sources, will leave a trail visible to the query processor, which can reveal significant and possibly sensitive information about her. Private Information Retrieval (PIR) algorithms can be leveraged for providing perfect privacy to users\u27 queries, though at a restrictive computational cost. In this work, we consider today\u27s highly distributed computing environments, as well as certain secure-hardware devices, for optimizing existing PIR solutions. In particular, we initially employ available secure-hardware in a novel approach with the goal of providing faster and constant private query responses, by sacrificing some degree of privacy. Further on, we utilize the widely used Message Passing Interface (MPI) protocol for designing a library which can be used in third party software for performing private queries

Another look at estimators for intermittent demand

In this paper we focus on forecasting for intermittent demand data. We propose a new aggregation framework for intermittent demand forecasting that performs aggregation over the demand volumes, in contrast to the standard framework that employs temporal (over time) aggregation. To achieve this we construct a transformed time series, the inverse intermittent demand series. The new algorithm is expected to work best on erratic and lumpy demand, as a result of the variance reduction of the non-zero demands. The improvement in forecasting performance is empirically demonstrated through an extensive evaluation in more than 8,000 time series of two well-researched spare parts data sets from the automotive and defence sectors. Furthermore, a simulation is performed so as to provide a stock-control evaluation. The proposed framework could find popularity among practitioners given its suitability when dealing with clump sizes. As such it could be used in conjunction with existing popular forecasting methods for intermittent demand as an exception handling mechanism when certain types of demand are observed