Dynamic and Heterogeneous Ensembles for Time Series Forecasting

Abstract

This paper addresses the issue of learning time series forecasting models in changing environments by leveraging the predictive power of ensemble methods. Concept drift adaptation is performed in an active manner, by dynamically combining base learners according to their recent performance using a non-linear function. Diversity in the ensembles is encouraged with several strategies that include heterogeneity among learners, sampling techniques and computation of summary statistics as extra predictors. Heterogeneity is used with the goal of better coping with different dynamic regimes of the time series. The driving hypotheses of this work are that (i) heterogeneous ensembles should better fit different dynamic regimes and (ii) dynamic aggregation should allow for fast detection and adaptation to regime changes. We extend some strategies typically used in classification tasks to time series forecasting. The proposed methods are validated using Monte Carlo simulations on 16 realworld univariate time series with numerical outcome as well as an artificial series with clear regime shifts. The results provide strong empirical evidence for our hypotheses. To encourage reproducibility the proposed method is publicly available as a software package.