An Analysis of Linear Time Series Forecasting Models

Despite their simplicity, linear models perform well at time series forecasting, even when pitted against deeper and more expensive models. A number of variations to the linear model have been proposed, often including some form of feature normalisation that improves model generalisation. In this paper we analyse the sets of functions expressible using these linear model architectures. In so doing we show that several popular variants of linear models for time series forecasting are equivalent and functionally indistinguishable from standard, unconstrained linear regression. We characterise the model classes for each linear variant. We demonstrate that each model can be reinterpreted as unconstrained linear regression over a suitably augmented feature set, and therefore admit closed-form solutions when using a mean-squared loss function. We provide experimental evidence that the models under inspection learn nearly identical solutions, and finally demonstrate that the simpler closed form solutions are superior forecasters across 72% of test settings.

Label Noise: Correcting a Correction

Training neural network classifiers on datasets with label noise poses a risk of overfitting them to the noisy labels. To address this issue, researchers have explored alternative loss functions that aim to be more robust. However, many of these alternatives are heuristic in nature and still vulnerable to overfitting or underfitting. In this work, we propose a more direct approach to tackling overfitting caused by label noise. We observe that the presence of label noise implies a lower bound on the noisy generalised risk. Building upon this observation, we propose imposing a lower bound on the empirical risk during training to mitigate overfitting. Our main contribution is providing theoretical results that yield explicit, easily computable bounds on the minimum achievable noisy risk for different loss functions. We empirically demonstrate that using these bounds significantly enhances robustness in various settings, with virtually no additional computational cost.