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Blending gradient boosted trees and neural networks for point and probabilistic forecasting of hierarchical time series

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  • Nasios, Ioannis
  • Vogklis, Konstantinos

Abstract

In this study, we addressed the problem of point and probabilistic forecasting by describing a blending methodology for machine learning models from the gradient boosted trees and neural networks families. These principles were successfully applied in the recent M5 Competition in both the Accuracy and Uncertainty tracks. The key points of our methodology are: (a) transforming the task into regression on sales for a single day; (b) information-rich feature engineering; (c) creating a diverse set of state-of-the-art machine learning models; and (d) carefully constructing validation sets for model tuning. We show that the diversity of the machine learning models and careful selection of validation examples are most important for the effectiveness of our approach. Forecasting data have an inherent hierarchical structure (12 levels) but none of our proposed solutions exploited the hierarchical scheme. Using the proposed methodology, we ranked within the gold medal range in the Accuracy track and within the prizes in the Uncertainty track. Inference code with pre-trained models are available on GitHub.11https://github.com/IoannisNasios/M5_Uncertainty_3rd_place.

Suggested Citation

  • Nasios, Ioannis & Vogklis, Konstantinos, 2022. "Blending gradient boosted trees and neural networks for point and probabilistic forecasting of hierarchical time series," International Journal of Forecasting, Elsevier, vol. 38(4), pages 1448-1459.
    • Handle: RePEc:eee:intfor:v:38:y:2022:i:4:p:1448-1459
    DOI: 10.1016/j.ijforecast.2022.01.001
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    References listed on IDEAS

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    3. Makridakis, Spyros & Spiliotis, Evangelos & Assimakopoulos, Vassilios, 2022. "M5 accuracy competition: Results, findings, and conclusions," International Journal of Forecasting, Elsevier, vol. 38(4), pages 1346-1364.
    4. Friedman, Jerome H., 2002. "Stochastic gradient boosting," Computational Statistics & Data Analysis, Elsevier, vol. 38(4), pages 367-378, February.
    5. Souhaib Ben Taieb & Rob J Hyndman, 2012. "Recursive and direct multi-step forecasting: the best of both worlds," Monash Econometrics and Business Statistics Working Papers 19/12, Monash University, Department of Econometrics and Business Statistics.
    6. Rob J. Hyndman & George Athanasopoulos, 2014. "Optimally Reconciling Forecasts in a Hierarchy," Foresight: The International Journal of Applied Forecasting, International Institute of Forecasters, issue 35, pages 42-48, Fall.
    7. Hyndman, Rob J. & Koehler, Anne B., 2006. "Another look at measures of forecast accuracy," International Journal of Forecasting, Elsevier, vol. 22(4), pages 679-688.
    8. Makridakis, Spyros & Spiliotis, Evangelos & Assimakopoulos, Vassilios, 2020. "The M4 Competition: 100,000 time series and 61 forecasting methods," International Journal of Forecasting, Elsevier, vol. 36(1), pages 54-74.
    9. Spyros Makridakis & Evangelos Spiliotis & Vassilios Assimakopoulos, 2018. "Statistical and Machine Learning forecasting methods: Concerns and ways forward," PLOS ONE, Public Library of Science, vol. 13(3), pages 1-26, March.
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    Cited by:

    1. Jiaju Miao & Pawel Polak, 2023. "Online Ensemble of Models for Optimal Predictive Performance with Applications to Sector Rotation Strategy," Papers 2304.09947, arXiv.org.

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    More about this item

    Keywords

    M5 Competition; Point forecast; Probabilistic forecast; Regression models; Gradient boosted trees; Neural networks; Machine learning;
    All these keywords.

    JEL classification:

    • M5 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Personnel Economics

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