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Selection of Time Series Forecasting Models based on Performance Information
Kitakyushu, Japan December 05-December 08
DOI Bookmark: http://doi.ieeecomputersociety.org/10.1109/ICHIS.2004.86Fourth International Conference on Hy ...
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Patr?cia Maforte dos Santos, Universidade Federal de Pernambuco, Brazil
Teresa Bernarda Ludermir, Universidade Federal de Pernambuco, Brazil
Ricardo Bastos Cavalcante Prudêncio, Universidade Federal de Pernambuco, Brazil
In this work, we proposed to use the Zoomed Ranking approach to rank and select time series models. Zoomed Ranking, originally proposed to generate a ranking of candidate algorithms, is employed to solve a given classification problem based on performance information from previous problems. The problem of model selection in Zoomed Ranking was solved in two distinct phases. In the first phase, we selected a subset of problems from the instances base that were similar to the new problem at hand. This selection is made using the k-Nearest Neighbor algorithm, whose distance function uses the characteristics of the series. In the second phase, the ranking of candidate models was generated based on performance information (accuracy and execution time) of the models in the series selected from the previous phase. Our experiments using the Zoomed Ranking revealed encouraging results.
Index Terms:
time series forecasting, meta-learning, ranking
Citation:
Patr?cia Maforte dos Santos, Teresa Bernarda Ludermir, Ricardo Bastos Cavalcante Prudêncio, "Selection of Time Series Forecasting Models based on Performance Information," his, pp.366-371, Fourth International Conference on Hybrid Intelligent Systems (HIS'04), 2004
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