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A Comparison of Contemporary Methods on Univariate Time Series Forecasting

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Advances in Machine Learning/Deep Learning-based Technologies

Part of the book series: Learning and Analytics in Intelligent Systems ((LAIS,volume 23))

Abstract

In data science, time series forecasting is the process of utilizing past or present (known) observations of a target variable to make predictions about future (unknown) observations. Due to the usefulness of forecasting applications in numerous real-life problems, various Statistical and Machine Learning forecasting models have been proposed over recent years. The purpose of this chapter is to compare the performance of several contemporary forecasting models that are considered state of the art. These include Autoregressive Integrated Moving Average (ARIMA), Neural Basis Expansion Analysis (NBEATS), Probabilistic Time Series Modeling focusing on deep learning-based models and others. In the first section of this work a brief theoretical background of the methods is provided. Then, the experimental procedure is being described. For the comparison, 40 univariate time series of financial data that cover a 1-year period were used. A python repository of automated time series forecasting models (AtsPy) was exploited to run the experiments. For the final comparison three different metrics (RMSE, MAE and MAPE) were taken into consideration. The results of this extended experimental procedure are presented through various explanatory diagrams of the methods’ performance in the final section.

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Notes

  1. 1.

    Actually, COVID-19 outbreak is in fact such a scenario, the consequences of which can be seen, among others, in various financial data.

  2. 2.

    Also with linear and non-linear time functions as components [62].

  3. 3.

    All of the implemented in AtsPy framework algorithms were used during the whole experimental procedure.

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  1. University of Patras, Rion, Greece

    Aikaterini Karanikola, Charalampos M. Liapis & Sotiris Kotsiantis

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  1. Aikaterini Karanikola
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  1. Department of Informatics, University of Piraeus, Piraeus, Greece

    George A. Tsihrintzis

  2. Department of Informatics, University of Piraeus, Piraeus, Greece

    Maria Virvou

  3. KES International, Shoreham-by-Sea, UK

    Lakhmi C. Jain

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Karanikola, A., Liapis, C.M., Kotsiantis, S. (2022). A Comparison of Contemporary Methods on Univariate Time Series Forecasting. In: Tsihrintzis, G.A., Virvou, M., Jain, L.C. (eds) Advances in Machine Learning/Deep Learning-based Technologies. Learning and Analytics in Intelligent Systems, vol 23. Springer, Cham. https://doi.org/10.1007/978-3-030-76794-5_8

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