Decompose and Conquer: Time Series Forecasting with Multiseasonal Trend Decomposition Using Loess
Over the past few years, there has been growing attention to the Long-Term Time Series Forecasting task and solving its inherent challenges like the non-stationarity of the underlying distribution. Notably, most successful models in this area use decomposition during preprocessing. Yet, much of the...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-12-01
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| Series: | Forecasting |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2571-9394/5/4/37 |
| _version_ | 1827574810127892480 |
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| author | Amirhossein Sohrabbeig Omid Ardakanian Petr Musilek |
| author_facet | Amirhossein Sohrabbeig Omid Ardakanian Petr Musilek |
| author_sort | Amirhossein Sohrabbeig |
| collection | DOAJ |
| description | Over the past few years, there has been growing attention to the Long-Term Time Series Forecasting task and solving its inherent challenges like the non-stationarity of the underlying distribution. Notably, most successful models in this area use decomposition during preprocessing. Yet, much of the recent research has focused on intricate forecasting techniques, often overlooking the critical role of decomposition, which we believe can significantly enhance the performance. Another overlooked aspect is the presence of multiseasonal components in many time series datasets. This study introduced a novel forecasting model that prioritizes multiseasonal trend decomposition, followed by a simple, yet effective forecasting approach. We submit that the right decomposition is paramount. The experimental results from both real-world and synthetic data underscore the efficacy of the proposed model, Decompose&Conquer, for all benchmarks with a great margin, around a 30–50% improvement in the error. |
| first_indexed | 2024-03-08T20:46:17Z |
| format | Article |
| id | doaj.art-ff3e1ba1c5f644efb88713a735946a00 |
| institution | Directory Open Access Journal |
| issn | 2571-9394 |
| language | English |
| last_indexed | 2024-03-08T20:46:17Z |
| publishDate | 2023-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Forecasting |
| spelling | doaj.art-ff3e1ba1c5f644efb88713a735946a002023-12-22T14:09:08ZengMDPI AGForecasting2571-93942023-12-015468469610.3390/forecast5040037Decompose and Conquer: Time Series Forecasting with Multiseasonal Trend Decomposition Using LoessAmirhossein Sohrabbeig0Omid Ardakanian1Petr Musilek2Electrical and Computer Engineering, University of Alberta, Edmonton, AB T6G 1H9, CanadaComputing Science, University of Alberta, Edmonton, AB T6G 1H9, CanadaElectrical and Computer Engineering, University of Alberta, Edmonton, AB T6G 1H9, CanadaOver the past few years, there has been growing attention to the Long-Term Time Series Forecasting task and solving its inherent challenges like the non-stationarity of the underlying distribution. Notably, most successful models in this area use decomposition during preprocessing. Yet, much of the recent research has focused on intricate forecasting techniques, often overlooking the critical role of decomposition, which we believe can significantly enhance the performance. Another overlooked aspect is the presence of multiseasonal components in many time series datasets. This study introduced a novel forecasting model that prioritizes multiseasonal trend decomposition, followed by a simple, yet effective forecasting approach. We submit that the right decomposition is paramount. The experimental results from both real-world and synthetic data underscore the efficacy of the proposed model, Decompose&Conquer, for all benchmarks with a great margin, around a 30–50% improvement in the error.https://www.mdpi.com/2571-9394/5/4/37time series forecastingdecompositionmultiseasonal |
| spellingShingle | Amirhossein Sohrabbeig Omid Ardakanian Petr Musilek Decompose and Conquer: Time Series Forecasting with Multiseasonal Trend Decomposition Using Loess Forecasting time series forecasting decomposition multiseasonal |
| title | Decompose and Conquer: Time Series Forecasting with Multiseasonal Trend Decomposition Using Loess |
| title_full | Decompose and Conquer: Time Series Forecasting with Multiseasonal Trend Decomposition Using Loess |
| title_fullStr | Decompose and Conquer: Time Series Forecasting with Multiseasonal Trend Decomposition Using Loess |
| title_full_unstemmed | Decompose and Conquer: Time Series Forecasting with Multiseasonal Trend Decomposition Using Loess |
| title_short | Decompose and Conquer: Time Series Forecasting with Multiseasonal Trend Decomposition Using Loess |
| title_sort | decompose and conquer time series forecasting with multiseasonal trend decomposition using loess |
| topic | time series forecasting decomposition multiseasonal |
| url | https://www.mdpi.com/2571-9394/5/4/37 |
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