Rob J. Hyndman's Blog, page 6
November 2, 2021
Uncertain futures: AAS2021
New Fellow presentation, Australian Academy of Science 2021
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.
October 21, 2021
Leave-one-out kernel density estimates for outlier detection
This paper introduces lookout, a new approach to detect outliers using leave-one-out kernel density estimates and extreme value theory. Outlier detection methods that use kernel density estimates generally employ a user defined parameter to determine the bandwidth. Lookout uses persistent homology to construct a bandwidth suitable for outlier detection without any user input. We demonstrate the effectiveness of lookout on an extensive data repository by comparing its performance with other outlier detection methods based on extreme value theory.
October 11, 2021
Monash Time Series Forecasting Archive
Many businesses nowadays rely on large quantities of time series data making time series forecasting an important research area. Global forecasting models and multivariate models that are trained across sets of time series have shown huge potential in providing accurate forecasts compared with the traditional univariate forecasting models that work on isolated series. However, there are currently no comprehensive time series forecasting archives that contain datasets of time series from similar sources available for researchers to evaluate the performance of new global or multivariate forecasting algorithms over varied datasets.
