Weighted Ensemble of Statistical Models

Abstract: We present a detailed description of our submission for the M4 forecasting competition, in which it ranked 3rd overall. Our solution utilizes several commonly used statistical models, which are weighted according to their performance on historical data. We cluster series within each type of frequency with respect to the existence of trend and seasonality. Every class of series is assigned a different set of models to combine. Combination weights are chosen separately for each series. We conduct experiments with a holdout set to manually pick pools of models that perform best for a given series type, as well as to choose the combination approaches.