Ensemble forecasting method

Abstract

The purpose of this article is to analyze the time series based on aggregate forecasting methods. Forecasting time series comprises an important scientific and technical task which is relevant in various sectors of economy and production. The main objective of any forecasting process is to get the ability to assess trends in changes to a particular factor. To predict the behaviour of future processes, a qualitative analysis of data is required, which provides the basis for the forecast. It is also important to choose the appropriate forecasting method. The forecast obtained may not be always correct, so it is crucial to determine how accurately it is built. In the present paper, characteristics of time series are provided. The main mathematical methods of time series forecasting are analyzed and their classification is presented. Criteria for the accuracy and reliability of forecasting models are defined. The accuracy of the forecast is an important criterion for evaluating the forecasting method. The aggregate ensemble forecast has proven to be an effective method for enhancing the accuracy of forecasting. The article provides an example of constructing an aggregate ensemble forecast. The types of nonlinear models are described and several methods are selected for constructing the aggregate ensemble forecast. The practical application of exponential smoothing is considered, the MA (moving average) model and the AR (autoregressive) model are constructed.