Recursive Multi-step Time Series Forecasting by Perturbing Data

Souhaib Ben Taieb and Gianluca Bontempi
(2011) IEEE International Conference on Data Mining (ICDM), December, 2011.


The Recursive strategy is the oldest and most intuitive strategy to forecast a time series multiple steps ahead. At the same time, it is well-known that this strategy suffers from the accumulation of errors as long as the forecasting horizon increases. We propose a variant of the Recursive strategy, called RECNOISY, which perturbs the initial dataset at each step of the forecasting process in order to i) handle more properly the estimated values at each forecasting step and ii) decrease the accumulation of errors induced by the Recursive strategy. In addition to the RECNOISY strategy, we propose another strategy, called HYBRID, which for each horizon selects the most accurate approach among the REC and the RECNOISY strategies according to the estimated accuracy. In order to assess the effectiveness of the proposed strategies, we carry out an experimental session based on the 111 times series of the NN5 forecasting competition. Accuracy results are presented together with a paired comparison over the horizons and the time series. The preliminary results show that our proposed approaches are promising in terms of forecasting performance.