Abstract Combination methods have performed well in time series forecast competitions. This study proposes a simple but general methodology for combining time series forecast methods. Weights are calculated using a… Click to show full abstract
Abstract Combination methods have performed well in time series forecast competitions. This study proposes a simple but general methodology for combining time series forecast methods. Weights are calculated using a cross-validation scheme that assigns greater weights to methods with more accurate in-sample predictions. The methodology was used to combine forecasts from the Theta, exponential smoothing, and ARIMA models, and placed fifth in the M4 Competition for both point and interval forecasting.
               
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