Automatic robust estimation for exponential smoothing: Perspectives from statistics and machine learning

Devon Barrow, Nikolaos Kourentzes, Rickard Sandberg, Jacek Niklewski

Research output: Contribution to journalArticle

Abstract

A major challenge in automating the production of a large number of forecasts, as often required in many business applications, is the need for robust and reliable predictions. Increased noise, outliers and structural changes in the series, all too common in practice, can severely affect the quality of forecasting. We investigate ways to increase the reliability of exponential smoothing forecasts, the most widely used family of forecasting models in business forecasting. We consider two alternative sets of approaches, one stemming from statistics and one from machine learning. To this end, we adapt M-estimators, boosting and inverse boosting to parameter estimation for exponential smoothing. We propose appropriate modifications that are necessary for time series forecasting while aiming to obtain scalable algorithms. We evaluate the various estimation methods using multiple real datasets and find that several approaches outperform the widely used maximum likelihood estimation. The novelty of this work lies in (1) demonstrating the usefulness of M-estimators, (2) and of inverse boosting, which outperforms standard boosting approaches, and (3) a comparative look at statistics versus machine learning inspired approaches.

Original languageEnglish
Article number113637
JournalExpert Systems with Applications
Volume160
Early online date15 Jun 2020
DOIs
Publication statusE-pub ahead of print - 15 Jun 2020

Keywords

  • Forecasting
  • Exponential smoothing
  • M-estimators
  • Boosting
  • Bagging

ASJC Scopus subject areas

  • Engineering(all)
  • Artificial Intelligence
  • Computer Science Applications

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