A comparison of AdaBoost algorithms for time series forecast combination

Devon K. Barrow, Sven F. Crone
2016 International Journal of Forecasting  
Recently, combination algorithms from machine learning classification have been extended to time series regression, most notably seven variants of the popular AdaBoost algorithm. Despite their theoretical promise their empirical accuracy in forecasting has not yet been assessed, either against each other or against any established approaches of forecast combination, model selection, or statistical benchmark algorithms. Also, none of the algorithms have been assessed on a representative set of
more » ... pirical data, using only few synthetic time series. We remedy this omission by conducting a rigorous empirical evaluation using a representative set of 111 industry time series and a valid and reliable experimental design. We develop a full-factorial design over derived Boosting meta-parameters, creating 42 novel Boosting variants, and create a further 47 novel Boosting variants using research insights from forecast combination. Experiments show that only few Boosting meta-parameters increase accuracy, while metaparameters derived from forecast combination research outperform others.
doi:10.1016/j.ijforecast.2016.01.006 fatcat:jlhndcfk4fc3xpfki3lrqyha7m