Model selection in reconciling hierarchical time series

Model selection has been proven an effective strategy for improving accuracy in time series forecasting applications. However, when dealing with hierarchical time series, apart from selecting the most appropriate forecasting model, forecasters have also to select a suitable method for reconciling the base forecasts produced for each series to make sure they are coherent. Although some hierarchical forecasting methods like minimum trace are strongly supported both theoretically and empirically for reconciling the base forecasts, there are still circumstances under which they might not produce the most accurate results, being outperformed by other methods. In this paper we propose an approach for dynamically selecting the most appropriate hierarchical forecasting method and succeeding better forecasting accuracy along with coherence. The approach, to be called conditional hierarchical forecasting, is based on Machine Learning classification methods and uses time series features as leading indicators for performing the selection for each hierarchy examined considering a variety of alternatives. Our results suggest that conditional hierarchical forecasting leads to significantly more accurate forecasts than standard approaches, especially at lower hierarchical levels.

A Strong Baseline for Weekly Time Series Forecasting

Many businesses and industries require accurate forecasts for weekly time series nowadays. The forecasting literature however does not currently provide easy-to-use, automatic, reproducible and accurate approaches dedicated to this task. We propose a forecasting method that can be used as a strong baseline in this domain, leveraging state-of-the-art forecasting techniques, forecast combination, and global modelling. Our approach uses four base forecasting models specifically suitable for forecasting weekly data: a global Recurrent Neural Network model, Theta, Trigonometric Box-Cox ARMA Trend Seasonal (TBATS), and Dynamic Harmonic Regression ARIMA (DHR-ARIMA). Those are then optimally combined using a lasso regression stacking approach. We evaluate the performance of our method against a set of state-of-the-art weekly forecasting models on six datasets. Across four evaluation metrics, we show that our method consistently outperforms the benchmark methods by a considerable margin with statistical significance. In particular, our model can produce the most accurate forecasts, in terms of mean sMAPE, for the M4 weekly dataset.

Improving the Accuracy of Global Forecasting Models using Time Series Data Augmentation

Forecasting models that are trained across sets of many time series, known as Global Forecasting Models (GFM), have shown recently promising results in forecasting competitions and real-world applications, outperforming many state-of-the-art univariate forecasting techniques. In most cases, GFMs are implemented using deep neural networks, and in particular Recurrent Neural Networks (RNN), which require a sufficient amount of time series to estimate their numerous model parameters. However, many time series databases have only a limited number of time series. In this study, we propose a novel, data augmentation based forecasting framework that is capable of improving the baseline accuracy of the GFM models in less data-abundant settings. We use three time series augmentation techniques: GRATIS, moving block bootstrap (MBB), and dynamic time warping barycentric averaging (DBA) to synthetically generate a collection of time series. The knowledge acquired from these augmented time series is then transferred to the original dataset using two different approaches: the pooled approach and the transfer learning approach. When building GFMs, in the pooled approach, we train a model on the augmented time series alongside the original time series dataset, whereas in the transfer learning approach, we adapt a pre-trained model to the new dataset. In our evaluation on competition and real-world time series datasets, our proposed variants can significantly improve the baseline accuracy of GFM models and outperform state-of-the-art univariate forecasting methods.

Seasonal Averaged One-Dependence Estimators: A Novel Algorithm to Address Seasonal Concept Drift in High-Dimensional Stream Classification

Stream classification methods classify a continuous stream of data as new labelled samples arrive. They often also have to deal with concept drift. This paper focuses on seasonal drift in stream classification, which can be found in many real-world application data sources. Traditional approaches of stream classification consider seasonal drift by including seasonal dummy/indicator variables or building separate models for each season. But these approaches have strong limitations in high-dimensional classification problems, or with complex seasonal patterns. This paper explores how to best handle seasonal drift in the specific context of news article categorization (or classification/tagging), where seasonal drift is overwhelmingly the main type of drift present in the data, and for which the data are high-dimensional. We introduce a novel classifier named Seasonal Averaged One-Dependence Estimators (SAODE), which extends the AODE classifier to handle seasonal drift by including time as a super parent. We assess our SAODE model using two large real-world text mining related datasets each comprising approximately a million records, against nine state-of-the-art stream and concept drift classification models, with and without seasonal indicators and with separate models built for each season. Across five different evaluation techniques, we show that our model consistently outperforms other methods by a large margin where the results are statistically significant.

Simulation and Optimisation of Air Conditioning Systems using Machine Learning

In building management, usually static thermal setpoints are used to maintain the inside temperature of a building at a comfortable level irrespective of its occupancy. This strategy can cause a massive amount of energy wastage and therewith increase energy related expenses. This paper explores how to optimise the setpoints used in a particular room during its unoccupied periods using machine learning approaches. We introduce a deep-learning model based on Recurrent Neural Networks (RNN) that can predict the temperatures of a future period directly where a particular room is unoccupied and by using these predicted temperatures, we define the optimal thermal setpoints to be used inside the room during the unoccupied period. We show that RNNs are particularly suitable for this learning task as they enable us to learn across many relatively short series, which is necessary to focus on particular operation modes of the air conditioning (AC) system. We evaluate the prediction accuracy of our RNN model against a set of state-of-the-art models and are able to outperform those by a large margin. We furthermore analyse the usage of our RNN model in optimising the energy consumption of an AC system in a real-world scenario using the temperature data from a university lecture theatre. Based on the simulations, we show that our RNN model can lead to savings around 20% compared with the traditional temperature controlling model that does not use optimisation techniques.

Time Series Regression

This paper introduces Time Series Regression (TSR): a little-studied task of which the aim is to learn the relationship between a time series and a continuous target variable. In contrast to time series classification (TSC), which predicts a categorical class label, TSR predicts a numerical value. This task generalizes forecasting, relaxing the requirement that the value predicted be a future value of the input series or primarily depend on more recent values. In this paper, we motivate and introduce this task, and benchmark possible solutions to tackling it on a novel archive of 19 TSR datasets which we have assembled. Our results show that the state-of-the-art TSC model Rocket, when adapted for regression, performs the best overall compared to other TSC models and state-of-the-art machine learning (ML) models such as XGBoost, Random Forest and Support Vector Regression.More importantly, we show that much research is needed in this field to improve the accuracy of ML models.

Monash University, UEA, UCR Time Series Regression Archive

Time series research has gathered lots of interests in the last decade, especially for Time Series Classification (TSC) and Time Series Forecasting (TSF). Research in TSC has greatly benefited from the University of California Riverside and University of East Anglia (UCR/UEA) Time Series Archives. On the other hand, the advancement in Time Series Forecasting relies on time series forecasting competitions such as the Makridakis competitions, NN3 and NN5 Neural Network competitions, and a few Kaggle competitions. Each year, thousands of papers proposing new algorithms for TSC and TSF have utilized these benchmarking archives. These algorithms are designed for these specific problems, but may not be useful for tasks such as predicting the heart rate of a person using photoplethysmogram (PPG) and accelerometer data. We refer to this problem as Time Series Regression (TSR), where we are interested in a more general methodology of predicting a single continuous value, from univariate or multivariate time series. This prediction can be from the same time series or not directly related to the predictor time series and does not necessarily need to be a future value or depend heavily on recent values. To the best of our knowledge, research into TSR has received much less attention in the time series research community and there are no models developed for general time series regression problems. Most models are developed for a specific problem. Therefore, we aim to motivate and support the research into TSR by introducing the first TSR benchmarking archive. This archive contains 19 datasets from different domains, with varying number of dimensions, unequal length dimensions, and missing values. In this paper, we introduce the datasets in this archive and did an initial benchmark on existing models.

Towards Accurate Predictions and Causal 'What-if' Analyses for Planning and Policy-making: A Case Study in Emergency Medical Services Demand

Emergency Medical Services (EMS) demand load has become a considerable burden for many government authorities, and EMS demand is often an early indicator for stress in communities, a warning sign of emerging problems. In this paper, we introduce Deep Planning and Policy Making Net (DeepPPMNet), a Long Short-Term Memory network based, global forecasting and inference framework to forecast the EMS demand, analyse causal relationships, and perform `what-if' analyses for policy-making across multiple local government areas. Unless traditional univariate forecasting techniques, the proposed method follows the global forecasting methodology, where a model is trained across all the available EMS demand time series to exploit the potential cross-series information available. DeepPPMNet also uses seasonal decomposition techniques, incorporated in two different training paradigms into the framework, to suit various characteristics of the EMS related time series data. We then explore causal relationships using the notion of Granger Causality, where the global forecasting framework enables us to perform `what-if' analyses that could be used for the national policy-making process. We empirically evaluate our method, using a set of EMS datasets related to alcohol, drug use and self-harm in Australia. The proposed framework is able to outperform many state-of-the-art techniques and achieve competitive results in terms of forecasting accuracy. We finally illustrate its use for policy-making in an example regarding alcohol outlet licenses.

Machine learning applications in time series hierarchical forecasting

Hierarchical forecasting (HF) is needed in many situations in the supply chain (SC) because managers often need different levels of forecasts at different levels of SC to make a decision. Top-Down (TD), Bottom-Up (BU) and Optimal Combination (COM) are common HF models. These approaches are static and often ignore the dynamics of the series while disaggregating them. Consequently, they may fail to perform well if the investigated group of time series are subject to large changes such as during the periods of promotional sales. We address the HF problem of predicting real-world sales time series that are highly impacted by promotion. We use three machine learning (ML) models to capture sales variations over time. Artificial neural networks (ANN), extreme gradient boosting (XGboost), and support vector regression (SVR) algorithms are used to estimate the proportions of lower-level time series from the upper level. We perform an in-depth analysis of 61 groups of time series with different volatilities and show that ML models are competitive and outperform some well-established models in the literature.

Recurrent Neural Networks for Time Series Forecasting: Current Status and Future Directions

Recurrent Neural Networks (RNN) have become competitive forecasting methods, as most notably shown in the winning method of the recent M4 competition. However, established statistical models such as ETS and ARIMA gain their popularity not only from their high accuracy, but they are also suitable for non-expert users as they are robust, efficient, and automatic. In these areas, RNNs have still a long way to go. We present an extensive empirical study and an open-source software framework of existing RNN architectures for forecasting, that allow us to develop guidelines and best practices for their use. For example, we conclude that RNNs are capable of modelling seasonality directly if the series in the dataset possess homogeneous seasonal patterns, otherwise we recommend a deseasonalization step. Comparisons against ETS and ARIMA demonstrate that the implemented (semi-)automatic RNN models are no silver bullets, but they are competitive alternatives in many situations.