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Forecasting with Multiple Seasonality

arXiv.org Machine Learning

An emerging number of modern applications involve forecasting time series data that exhibit both short-time dynamics and long-time seasonality. Specifically, time series with multiple seasonality is a difficult task with comparatively fewer discussions. In this paper, we propose a two-stage method for time series with multiple seasonality, which does not require pre-determined seasonality periods. In the first stage, we generalize the classical seasonal autoregressive moving average (ARMA) model in multiple seasonality regime. In the second stage, we utilize an appropriate criterion for lag order selection. Simulation and empirical studies show the excellent predictive performance of our method, especially compared to a recently popular `Facebook Prophet' model for time series.


Beginner's Guide for time-series forecasting Dimensionless Blog

#artificialintelligence

Time series analysis is the use of statistical methods to analyze time series data and extract meaningful statistics and characteristics of the data. In this blog, we will begin our journey of learning time series forecasting using python. We will be taking a small forecasting problem and try to solve it till the end learning time series forecasting alongside. Time series analysis is the collection of data at specific intervals over a period of time, with the purpose of identifying trends, cycles, and seasonal variances to aid in the forecasting of a future event. Data is any observed outcome that's measurable. Unlike in statistical sampling, in time series analysis, data must be measured over time at consistent intervals to identify patterns that form trends, cycles, and seasonal variances.


Time Series Forecasting with ARIMA , SARIMA and SARIMAX

#artificialintelligence

Time series forecasting is a difficult problem with no easy answer. There are countless statistical models that claim to outperform each other, yet it is never clear which model is best. That being said, ARMA-based models are often a good model to start with. They can achieve decent scores on most time-series problems and are well-suited as a baseline model in any time series problem. This article is a comprehensive, beginner-friendly guide to help you understand ARIMA-based models.


Mixed pooling of seasonality in time series pallet forecasting

arXiv.org Machine Learning

Multiple seasonal patterns play a key role in time series forecasting, especially for business time series where seasonal effects are often dramatic. Previous approaches including Fourier decomposition, exponential smoothing, and seasonal autoregressive integrated moving average (SARIMA) models do not reflect the distinct characteristics of each period in seasonal patterns, such as the unique behavior of specific days of the week in business data. We propose a multi-dimensional hierarchical model. Intermediate parameters for each seasonal period are first estimated, and a mixture of intermediate parameters is then taken, resulting in a model that successfully reflects the interactions between multiple seasonal patterns. Although this process reduces the data available for each parameter, a robust estimation can be obtained through a hierarchical Bayesian model implemented in Stan. Through this model, it becomes possible to consider both the characteristics of each seasonal period and the interactions among characteristics from multiple seasonal periods. Our new model achieved considerable improvements in prediction accuracy compared to previous models, including Fourier decomposition, which Prophet uses to model seasonality patterns. A comparison was performed on a real-world dataset of pallet transport from a national-scale logistic network.


Introduction to Time Series - DZone AI

#artificialintelligence

A time series is a sequentially indexed representation of your historical data that can be used to solve classification and segmentation problems, in addition to forecasting future values of numerical properties, for example, air pollution level in Madrid for the last two days. This is a very versatile method often used for predicting stock prices, sales forecasting, website traffic, production and inventory analysis, or weather forecasting, among many other use cases. Soon, BigML will have time series as a new resource. Following our mission of democratizing machine learning and making it easy for everyone, we will provide new learning material for you to start with time series from scratch and become a power user over time. We start by publishing a series of six blog posts that will progressively dive deeper into the technical and practical aspects of time series with an emphasis on time series models for forecasting.