M4 competition was a huge success. The International Journal of Forecasting just published a full issue covering all aspects of the competition. I was honored to be invited by the guest editors to write a commentary paper, which focused on the hourly series of the competition.
According to the organizers (see HERE), the M5 competition is coming soon!
Citation
Tao Hong, "Forecasting with high frequency data: M4 competition and beyond," International Journal of Forecasting, vol.36, no.1, pp.191-194, January, 2020. (ScienceDirect)
Abstract
The M4 competition included 100,000 time series, with the frequencies ranging from yearly to hourly. The team rankings differ notably across frequencies for both point and probabilistic forecasting. I discuss the performances of these methods, with an emphasis on the hourly series of the M4 competition. I also discuss forecasting with high-frequency data in general.
According to the organizers (see HERE), the M5 competition is coming soon!
Citation
Tao Hong, "Forecasting with high frequency data: M4 competition and beyond," International Journal of Forecasting, vol.36, no.1, pp.191-194, January, 2020. (ScienceDirect)
Forecasting with High Frequency Data: M4 Competition and Beyond
Tao Hong
Abstract
The M4 competition included 100,000 time series, with the frequencies ranging from yearly to hourly. The team rankings differ notably across frequencies for both point and probabilistic forecasting. I discuss the performances of these methods, with an emphasis on the hourly series of the M4 competition. I also discuss forecasting with high-frequency data in general.
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