The M4 Competition: 100,000 time series and 61 forecasting methods
The M4 Competition: 100,000 time series and 61 forecasting methods
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DOI：
10.1016/j.ijforecast.2019.04.014
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发表时间：
2020-01-01
影响因子：
7.9
通讯作者：
Assimakopoulos, Vassilios
中科院分区：
文献类型：
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作者：
Makridakis, Spyros;Spiliotis, Evangelos;Assimakopoulos, Vassilios
M4竞赛是前三届M竞赛的延续，其目的是从经验证据中学习如何提高预测准确性，以及如何利用这种学习来推进预测的理论和实践。M4的目的是通过以下方式复制和扩展前三次竞赛：（a）显著增加系列的数量，（B）扩大预测方法的数量，（c）在评估过程中包括预测区间以及点预测。本文详细介绍了M4的各个方面，包括其组织和运行，其结果的介绍，整体和分类的最佳方法，其主要发现及其影响，以及各种方法的计算要求。最后，它总结了它的主要结论，并表示期望它的系列将成为新方法的评估和预测实践的改进的试验场，同时也提出了该领域的一些前进方向。(C)2019作者（S）由Elsevier B.V.代表国际预报员协会出版。
The M4 Competition follows on from the three previous M competitions, the purpose of which was to learn from empirical evidence both how to improve the forecasting accuracy and how such learning could be used to advance the theory and practice of forecasting. The aim of M4 was to replicate and extend the three previous competitions by: (a) significantly increasing the number of series, (b) expanding the number of forecasting methods, and (c) including prediction intervals in the evaluation process as well as point forecasts. This paper covers all aspects of M4 in detail, including its organization and running, the presentation of its results, the top-performing methods overall and by categories, its major findings and their implications, and the computational requirements of the various methods. Finally, it summarizes its main conclusions and states the expectation that its series will become a testing ground for the evaluation of new methods and the improvement of the practice of forecasting, while also suggesting some ways forward for the field. (C) 2019 The Author(s). Published by Elsevier B.V. on behalf of International Institute of Forecasters.