Meta-learning and Data Augmentation for Stress Testing Forecasting Models

The effectiveness of univariate forecasting models is often hampered by conditions that cause them stress. A model is considered to be under stress if it shows a negative behaviour, such as higher-than-usual errors or increased uncertainty. Understanding the factors that cause stress to forecasting models is important to improve their reliability, transparency, and utility. This paper addresses this problem by contributing with a novel framework called MAST (Meta-learning and data Augmentation for Stress Testing). The proposed approach aims to model and characterize stress in univariate time series forecasting models, focusing on conditions where they exhibit large errors. In particular, MAST is a meta-learning approach that predicts the probability that a given model will perform poorly on a given time series based on a set of statistical time series features. MAST also encompasses a novel data augmentation technique based on oversampling to improve the metadata concerning stress. We conducted experiments using three benchmark datasets that contain a total of 49.794 time series to validate the performance of MAST. The results suggest that the proposed approach is able to identify conditions that lead to large errors. The method and experiments are publicly available in a repository.

Forecasting with Deep Learning: Beyond Average of Average of Average Performance

Accurate evaluation of forecasting models is essential for ensuring reliable predictions. Current practices for evaluating and comparing forecasting models focus on summarising performance into a single score, using metrics such as SMAPE. We hypothesize that averaging performance over all samples dilutes relevant information about the relative performance of models. Particularly, conditions in which this relative performance is different than the overall accuracy. We address this limitation by proposing a novel framework for evaluating univariate time series forecasting models from multiple perspectives, such as one-step ahead forecasting versus multi-step ahead forecasting. We show the advantages of this framework by comparing a state-of-the-art deep learning approach with classical forecasting techniques. While classical methods (e.g. ARIMA) are long-standing approaches to forecasting, deep neural networks (e.g. NHITS) have recently shown state-of-the-art forecasting performance in benchmark datasets. We conducted extensive experiments that show NHITS generally performs best, but its superiority varies with forecasting conditions. For instance, concerning the forecasting horizon, NHITS only outperforms classical approaches for multi-step ahead forecasting. Another relevant insight is that, when dealing with anomalies, NHITS is outperformed by methods such as Theta. These findings highlight the importance of aspect-based model evaluation.

Lag Selection for Univariate Time Series Forecasting using Deep Learning: An Empirical Study

Most forecasting methods use recent past observations (lags) to model the future values of univariate time series. Selecting an adequate number of lags is important for training accurate forecasting models. Several approaches and heuristics have been devised to solve this task. However, there is no consensus about what the best approach is. Besides, lag selection procedures have been developed based on local models and classical forecasting techniques such as ARIMA. We bridge this gap in the literature by carrying out an extensive empirical analysis of different lag selection methods. We focus on deep learning methods trained in a global approach, i.e., on datasets comprising multiple univariate time series. The experiments were carried out using three benchmark databases that contain a total of 2411 univariate time series. The results indicate that the lag size is a relevant parameter for accurate forecasts. In particular, excessively small or excessively large lag sizes have a considerable negative impact on forecasting performance. Cross-validation approaches show the best performance for lag selection, but this performance is comparable with simple heuristics.

Time Series Data Augmentation as an Imbalanced Learning Problem

Recent state-of-the-art forecasting methods are trained on collections of time series. These methods, often referred to as global models, can capture common patterns in different time series to improve their generalization performance. However, they require large amounts of data that might not be readily available. Besides this, global models sometimes fail to capture relevant patterns unique to a particular time series. In these cases, data augmentation can be useful to increase the sample size of time series datasets. The main contribution of this work is a novel method for generating univariate time series synthetic samples. Our approach stems from the insight that the observations concerning a particular time series of interest represent only a small fraction of all observations. In this context, we frame the problem of training a forecasting model as an imbalanced learning task. Oversampling strategies are popular approaches used to deal with the imbalance problem in machine learning. We use these techniques to create synthetic time series observations and improve the accuracy of forecasting models. We carried out experiments using 7 different databases that contain a total of 5502 univariate time series. We found that the proposed solution outperforms both a global and a local model, thus providing a better trade-off between these two approaches.

On-the-fly Data Augmentation for Forecasting with Deep Learning

Deep learning approaches are increasingly used to tackle forecasting tasks. A key factor in the successful application of these methods is a large enough training sample size, which is not always available. In these scenarios, synthetic data generation techniques are usually applied to augment the dataset. Data augmentation is typically applied before fitting a model. However, these approaches create a single augmented dataset, potentially limiting their effectiveness. This work introduces OnDAT (On-the-fly Data Augmentation for Time series) to address this issue by applying data augmentation during training and validation. Contrary to traditional methods that create a single, static augmented dataset beforehand, OnDAT performs augmentation on-the-fly. By generating a new augmented dataset on each iteration, the model is exposed to a constantly changing augmented data variations. We hypothesize this process enables a better exploration of the data space, which reduces the potential for overfitting and improves forecasting performance. We validated the proposed approach using a state-of-the-art deep learning forecasting method and 8 benchmark datasets containing a total of 75797 time series. The experiments suggest that OnDAT leads to better forecasting performance than a strategy that applies data augmentation before training as well as a strategy that does not involve data augmentation. The method and experiments are publicly available.

Multi-output Ensembles for Multi-step Forecasting

This paper studies the application of ensembles composed of multi-output models for multi-step ahead forecasting problems. Dynamic ensembles have been commonly used for forecasting. However, these are typically designed for one-step-ahead tasks. On the other hand, the literature regarding the application of dynamic ensembles for multi-step ahead forecasting is scarce. Moreover, it is not clear how the combination rule is applied across the forecasting horizon. We carried out extensive experiments to analyze the application of dynamic ensembles for multi-step forecasting. We resorted to a case study with 3568 time series and an ensemble of 30 multi-output models. We discovered that dynamic ensembles based on arbitrating and windowing present the best performance according to average rank. Moreover, as the horizon increases, most approaches struggle to outperform a static ensemble that assigns equal weights to all models. The experiments are publicly available in a repository.

Exceedance Probability Forecasting via Regression for Significant Wave Height Forecasting

Significant wave height forecasting is a key problem in ocean data analytics. Predicting the significant wave height is crucial for estimating the energy production from waves. Moreover, the timely prediction of large waves is important to ensure the safety of maritime operations, e.g. passage of vessels. We frame the task of predicting extreme values of significant wave height as an exceedance probability forecasting problem. Accordingly, we aim at estimating the probability that the significant wave height will exceed a predefined threshold. This task is usually solved using a probabilistic binary classification model. Instead, we propose a novel approach based on a forecasting model. The method leverages the forecasts for the upcoming observations to estimate the exceedance probability according to the cumulative distribution function. We carried out experiments using data from a buoy placed in the coast of Halifax, Canada. The results suggest that the proposed methodology is better than state-of-the-art approaches for exceedance probability forecasting.

Automated Imbalanced Classification via Layered Learning

In this paper we address imbalanced binary classification (IBC) tasks. Applying resampling strategies to balance the class distribution of training instances is a common approach to tackle these problems. Many state-of-the-art methods find instances of interest close to the decision boundary to drive the resampling process. However, under-sampling the majority class may potentially lead to important information loss. Over-sampling also may increase the chance of overfitting by propagating the information contained in instances from the minority class. The main contribution of our work is a new method called ICLL for tackling IBC tasks which is not based on resampling training observations. Instead, ICLL follows a layered learning paradigm to model the data in two stages. In the first layer, ICLL learns to distinguish cases close to the decision boundary from cases which are clearly from the majority class, where this dichotomy is defined using a hierarchical clustering analysis. In the subsequent layer, we use instances close to the decision boundary and instances from the minority class to solve the original predictive task. A second contribution of our work is the automatic definition of the layers which comprise the layered learning strategy using a hierarchical clustering model. This is a relevant discovery as this process is usually performed manually according to domain knowledge. We carried out extensive experiments using 100 benchmark data sets. The results show that the proposed method leads to a better performance relatively to several state-of-the-art methods for IBC.

AutoFITS: Automatic Feature Engineering for Irregular Time Series

A time series represents a set of observations collected over time. Typically, these observations are captured with a uniform sampling frequency (e.g. daily). When data points are observed in uneven time intervals the time series is referred to as irregular or intermittent. In such scenarios, the most common solution is to reconstruct the time series to make it regular, thus removing its intermittency. We hypothesise that, in irregular time series, the time at which each observation is collected may be helpful to summarise the dynamics of the data and improve forecasting performance. We study this idea by developing a novel automatic feature engineering framework, which focuses on extracting information from this point of view, i.e., when each instance is collected. We study how valuable this information is by integrating it in a time series forecasting workflow and investigate how it compares to or complements state-of-the-art methods for regular time series forecasting. In the end, we contribute by providing a novel framework that tackles feature engineering for time series from an angle previously vastly ignored. We show that our approach has the potential to further extract more information about time series that significantly improves forecasting performance.

Model Compression for Dynamic Forecast Combination

The predictive advantage of combining several different predictive models is widely accepted. Particularly in time series forecasting problems, this combination is often dynamic to cope with potential non-stationary sources of variation present in the data. Despite their superior predictive performance, ensemble methods entail two main limitations: high computational costs and lack of transparency. These issues often preclude the deployment of such approaches, in favour of simpler yet more efficient and reliable ones. In this paper, we leverage the idea of model compression to address this problem in time series forecasting tasks. Model compression approaches have been mostly unexplored for forecasting. Their application in time series is challenging due to the evolving nature of the data. Further, while the literature focuses on neural networks, we apply model compression to distinct types of methods. In an extensive set of experiments, we show that compressing dynamic forecasting ensembles into an individual model leads to a comparable predictive performance and a drastic reduction in computational costs. Further, the compressed individual model with best average rank is a rule-based regression model. Thus, model compression also leads to benefits in terms of model interpretability. The experiments carried in this paper are fully reproducible.