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The Wisdom of the Data: Getting the Most Out of Univariate Time Series Forecasting

1
School of Management, University of Bath, Bath BA2 7AY, UK
2
Forecasting and Strategy Unit, School of Electrical and Computer Engineering, National Technical University of Athens, 15780 Athens, Greece
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Author to whom correspondence should be addressed.
Academic Editor: Sonia Leva
Forecasting 2021, 3(3), 478-497; https://doi.org/10.3390/forecast3030029
Received: 17 May 2021 / Revised: 11 June 2021 / Accepted: 21 June 2021 / Published: 23 June 2021
(This article belongs to the Special Issue Feature Papers of Forecasting 2021)
Forecasting is a challenging task that typically requires making assumptions about the observed data but also the future conditions. Inevitably, any forecasting process will result in some degree of inaccuracy. The forecasting performance will further deteriorate as the uncertainty increases. In this article, we focus on univariate time series forecasting and we review five approaches that one can use to enhance the performance of standard extrapolation methods. Much has been written about the “wisdom of the crowds” and how collective opinions will outperform individual ones. We present the concept of the “wisdom of the data” and how data manipulation can result in information extraction which, in turn, translates to improved forecast accuracy by aggregating (combining) forecasts computed on different perspectives of the same data. We describe and discuss approaches that are based on the manipulation of local curvatures (theta method), temporal aggregation, bootstrapping, sub-seasonal and incomplete time series. We compare these approaches with regards to how they extract information from the data, their computational cost, and their performance. View Full-Text
Keywords: information; combination; uncertainty; theta; temporal aggregation; bagging; sub-seasonal series information; combination; uncertainty; theta; temporal aggregation; bagging; sub-seasonal series
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MDPI and ACS Style

Petropoulos, F.; Spiliotis, E. The Wisdom of the Data: Getting the Most Out of Univariate Time Series Forecasting. Forecasting 2021, 3, 478-497. https://doi.org/10.3390/forecast3030029

AMA Style

Petropoulos F, Spiliotis E. The Wisdom of the Data: Getting the Most Out of Univariate Time Series Forecasting. Forecasting. 2021; 3(3):478-497. https://doi.org/10.3390/forecast3030029

Chicago/Turabian Style

Petropoulos, Fotios, and Evangelos Spiliotis. 2021. "The Wisdom of the Data: Getting the Most Out of Univariate Time Series Forecasting" Forecasting 3, no. 3: 478-497. https://doi.org/10.3390/forecast3030029

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