Dealing with seasonality by narrowing the training set in time series forecasting with kNN

TitleDealing with seasonality by narrowing the training set in time series forecasting with kNN
Publication TypeJournal Article
Year of Publication2018
AuthorsMartínez, Francisco, Frías María Pilar, Pérez-Godoy M.D., and Rivera Antonio J.
JournalExpert Systems with Applications
Volume103
Pagination38 - 48
ISSN0957-4174
KeywordsNN regression, Seasonal time series, time series forecasting
Abstract

In this paper, a new strategy for dealing with time series exhibiting a seasonal pattern is proposed. The strategy is applied in the context of time series forecasting using kNN regression. The key idea is to forecast every different season using a different specialized kNN learner. Each learner is specialized because its training set only contains examples whose targets belong to the season that is able to forecast. This way, the forecast of a specialized kNN learner is an aggregation of target values of the same season, reducing the likelihood of misleading forecasts. Although the strategy is applied to kNN, we think that other computational intelligence approaches could take advantage of it.

URLhttp://www.sciencedirect.com/science/article/pii/S0957417418301441
DOI10.1016/j.eswa.2018.03.005