Abstract:In the current context of big data, the operational forecasting problems are more and more frequently involving the prediction of collections of multivariate, high-dimensional, related time series. The challenge of forecasting groups of time series can be tackled by fitting a single function to all series (global approach) or assuming each series to be a separate prediction problem and fitting one function to each problem (local approach). Although some global models show promising results against local benchm… Show more
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