Understanding machine learning-based forecasting methods: A decomposition framework and research opportunities

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Abstract

Machine learning (ML) methods are gaining popularity in the forecasting field, as they have shown strong empirical performance in the recent M4 and M5 competitions, as well as in several Kaggle competitions. However, understanding why and how these methods work well for forecasting is still at a very early stage, partly due to their complexity. In this paper, I present a framework for regression-based ML that provides researchers with a common language and abstraction to aid in their study. To demonstrate the utility of the framework, I show how it can be used to map and compare ML methods used in the M5 Uncertainty competition. I then describe how the framework can be used together with ablation testing to systematically study their performance. Lastly, I use the framework to provide an overview of the solution space in regression-based ML forecasting, identifying areas for further research.

Original languageEnglish
JournalInternational Journal of Forecasting
Volume38
Issue number4
Pages (from-to)1555-1561
Number of pages7
ISSN0169-2070
DOIs
Publication statusPublished - 1 Oct 2022

Bibliographical note

Publisher Copyright:
© 2021 The Author(s)

Keywords

  • Ablation testing
  • Decomposition
  • Forecasting
  • Framework
  • Kaggle
  • M5 competition
  • Machine learning

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