Devising a method for constructing the optimal model of time series forecasting based on the principles of competition

This paper reports the analysis of a forecasting problem based on time series. It is noted that the forecasting stage itself is preceded by the stages of selection of forecasting methods, determining the criterion for the forecast quality, and setting the optimal prehistory step. As one of the crite...

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Autores principales:	Oksana Mulesa, Igor Povkhan, Tamara Radivilova, Oleksii Baranovskyi
Formato:	article
Lenguaje:	EN RU UK
Publicado:	PC Technology Center 2021
Materias:	time series dominant forecast models volatility forecast accuracy optimal model Technology (General) T1-995 Industry HD2321-4730.9
Acceso en línea:	https://doaj.org/article/58bbb7b759e64dba8a5cbcbb52094426
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spelling	oai:doaj.org-article:58bbb7b759e64dba8a5cbcbb520944262021-11-04T14:06:45ZDevising a method for constructing the optimal model of time series forecasting based on the principles of competition1729-37741729-406110.15587/1729-4061.2021.240847https://doaj.org/article/58bbb7b759e64dba8a5cbcbb520944262021-10-01T00:00:00Zhttp://journals.uran.ua/eejet/article/view/240847https://doaj.org/toc/1729-3774https://doaj.org/toc/1729-4061This paper reports the analysis of a forecasting problem based on time series. It is noted that the forecasting stage itself is preceded by the stages of selection of forecasting methods, determining the criterion for the forecast quality, and setting the optimal prehistory step. As one of the criteria for a forecast quality, its volatility has been considered. Improving the volatility of the forecast could ensure a decrease in the absolute value of the deviation of forecast values from actual data. Such a criterion should be used in forecasting in medicine and other socially important sectors. To implement the principle of competition between forecasting methods, it is proposed to categorize them based on the values of deviations in the forecast results from the exact values of the elements of the time series. The concept of dominance among forecasting methods has been introduced; rules for the selection of dominant and accurate enough predictive models have been defined. Applying the devised rules could make it possible, at the preceding stages of the analysis of the time series, to reject in advance the models that would surely fail from the list of predictive models available to use. In accordance with the devised method, after applying those rules, a system of functions is built. The functions differ in the sets of predictive models whose forecasting results are taken into consideration. Variables in the functions are the weight coefficients with which predictive models are included. Optimal values for the variables, as well as the optimal model, are selected as a result of minimizing the functions built. The devised method was experimentally verified. It has been shown that the constructed method made it possible to reduce the forecast error from 0.477 and 0.427 for basic models to 0.395 and to improve the volatility of the forecast from 1969.489 and 1974.002 to 1607.065Oksana MulesaIgor PovkhanTamara RadivilovaOleksii BaranovskyiPC Technology Centerarticletime seriesdominant forecast modelsvolatilityforecast accuracyoptimal modelTechnology (General)T1-995IndustryHD2321-4730.9ENRUUKEastern-European Journal of Enterprise Technologies, Vol 5, Iss 4 (113), Pp 6-11 (2021)
institution	DOAJ
collection	DOAJ
language	EN RU UK
topic	time series dominant forecast models volatility forecast accuracy optimal model Technology (General) T1-995 Industry HD2321-4730.9
spellingShingle	time series dominant forecast models volatility forecast accuracy optimal model Technology (General) T1-995 Industry HD2321-4730.9 Oksana Mulesa Igor Povkhan Tamara Radivilova Oleksii Baranovskyi Devising a method for constructing the optimal model of time series forecasting based on the principles of competition
description	This paper reports the analysis of a forecasting problem based on time series. It is noted that the forecasting stage itself is preceded by the stages of selection of forecasting methods, determining the criterion for the forecast quality, and setting the optimal prehistory step. As one of the criteria for a forecast quality, its volatility has been considered. Improving the volatility of the forecast could ensure a decrease in the absolute value of the deviation of forecast values from actual data. Such a criterion should be used in forecasting in medicine and other socially important sectors. To implement the principle of competition between forecasting methods, it is proposed to categorize them based on the values of deviations in the forecast results from the exact values of the elements of the time series. The concept of dominance among forecasting methods has been introduced; rules for the selection of dominant and accurate enough predictive models have been defined. Applying the devised rules could make it possible, at the preceding stages of the analysis of the time series, to reject in advance the models that would surely fail from the list of predictive models available to use. In accordance with the devised method, after applying those rules, a system of functions is built. The functions differ in the sets of predictive models whose forecasting results are taken into consideration. Variables in the functions are the weight coefficients with which predictive models are included. Optimal values for the variables, as well as the optimal model, are selected as a result of minimizing the functions built. The devised method was experimentally verified. It has been shown that the constructed method made it possible to reduce the forecast error from 0.477 and 0.427 for basic models to 0.395 and to improve the volatility of the forecast from 1969.489 and 1974.002 to 1607.065
format	article
author	Oksana Mulesa Igor Povkhan Tamara Radivilova Oleksii Baranovskyi
author_facet	Oksana Mulesa Igor Povkhan Tamara Radivilova Oleksii Baranovskyi
author_sort	Oksana Mulesa
title	Devising a method for constructing the optimal model of time series forecasting based on the principles of competition
title_short	Devising a method for constructing the optimal model of time series forecasting based on the principles of competition
title_full	Devising a method for constructing the optimal model of time series forecasting based on the principles of competition
title_fullStr	Devising a method for constructing the optimal model of time series forecasting based on the principles of competition
title_full_unstemmed	Devising a method for constructing the optimal model of time series forecasting based on the principles of competition
title_sort	devising a method for constructing the optimal model of time series forecasting based on the principles of competition
publisher	PC Technology Center
publishDate	2021
url	https://doaj.org/article/58bbb7b759e64dba8a5cbcbb52094426
work_keys_str_mv	AT oksanamulesa devisingamethodforconstructingtheoptimalmodeloftimeseriesforecastingbasedontheprinciplesofcompetition AT igorpovkhan devisingamethodforconstructingtheoptimalmodeloftimeseriesforecastingbasedontheprinciplesofcompetition AT tamararadivilova devisingamethodforconstructingtheoptimalmodeloftimeseriesforecastingbasedontheprinciplesofcompetition AT oleksiibaranovskyi devisingamethodforconstructingtheoptimalmodeloftimeseriesforecastingbasedontheprinciplesofcompetition
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Devising a method for constructing the optimal model of time series forecasting based on the principles of competition

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