MLTF: Model less time-series forecasting

Abstract

Multi-step ahead long term forecasting remains a pertinent challenge in time series literature due to non-stationary behaviour of real-world data. Predominantly most traditional time series models are parametric in nature and they use the predicted values to generate forecast for future time steps. This leads to error accumulation in each step of the forecasting horizon which causes increasingly poorer forecast in long-term. Other than the problem of error accumulation, most parametric algorithms also require significant pre-processing, hyper-parameter tuning, training and post-processing which can often put high computational burden on the system. Therefore, this paper proposes, Model Less Time-series Forecasting (MLTF), a non-parametric approach for forecasting which does not require any pre-processing or traditional training (i.e. Backpropagation). MLTF is a non-parametric method which uses statistical representations such as trend, linearity, entropy etc. to cluster series from a pre-defined repository and the series from same cluster are tagged as similar series. The trajectory of the target series is extracted from these similar series after applying an adaptive re-sampling technique. There is minimal training involved in MLTF, therefore this framework is computationally very efficient. The model-less nature also enables it to not suffer from error accumulation in long-horizon forecast. MLTF is validated empirically with a rich set of experiments involving M1, M3 competition dataset, Electricity, Volatility and COVID-19 data (over 4500 independent uni-variate series of different frequencies i.e. Hourly, Daily, Monthly, Quarterly and Yearly). The experiments demonstrate that, MLTF is significantly faster while being similar (or better) in terms of forecasting accuracy than the state-of-the-art DL methods and other non-parametric time series model.