Learning Predictive Leading Indicators for Forecasting Time Series Systems with Unknown Clusters of Forecast Tasks

2 Oct 2017Magda GregorovaAlexandros KalousisStephane Marchand-Maillet

We present a new method for forecasting systems of multiple interrelated time series. The method learns the forecast models together with discovering leading indicators from within the system that serve as good predictors improving the forecast accuracy and a cluster structure of the predictive tasks around these... (read more)

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