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Thread of the coolest papers in forecasting ⛄️🌨️️️️🌨️️️️
Add any hot forecasting research you come across! 🔥🔥🔥
Please add a TLDR, a link to the paper, and ideally any relevant code base.
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Distributed modelling of long time series processes based on minimising a global loss function using MapReduce framework.
Challenges the assumption that the data generating process (DGP) of an ultra-long time series stays invariant, instead assumes that only the DGP of subseries spanning shorter time periods stays invariant.
Link to paper: https://arxiv.org/abs/2007.09577
Link to github repository: https://github.com/xqnwang/darima
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Combination approach to modelling & forecasting intermittent demand. Significant improvement in forecasting accuracy versus many of the common methods used for forecasting intermittent demand such as Cronstons and MAPA https://kourentzes.com/forecasting/2016/11/17/mapax-available-for-r-new-mapa-package-on-cran/
The approach in this work uses an XGBoost model to compute features tailored for intermittent demand and learn the relationship between the features and combination weights of the pool of intermittent demand forecasting models.
It builds upon the M4metalearning work using features of the time series, https://github.com/robjhyndman/M4metalearning
The code base also has a nice collection of functions for multiple time series models and intermittent time series features, even if you weren’t to use them using the proposed. combination approach.
Link to paper: https://arxiv.org/abs/2204.08283
Link to github repository: https://github.com/lily940703/fide
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A forecasting encyclopedia
Should be a go to reference for all things forecasting, more a book than a paper, this work provides reviews of theory and practice of forecasting models, methods, principles, and approaches to prepare, produce, organise, and evaluate forecasts.
An extensive review of the application of these methods within different fields is then provided.
Also a really useful list of all the existing packages across R, python & others for applying these methods
Link to paper: https://www.sciencedirect.com/science/article/pii/S0169207021001758
Link to free arxiv version: https://arxiv.org/abs/2012.03854
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