G. Papacharalampous, H. Tyralis, and D. Koutsoyiannis, Univariate time series forecasting of temperature and precipitation with a focus on machine learning algorithms: a multiple-case study from Greece, Water Resources Management, doi:10.1007/s11269-018-2155-6, 2018.
We provide contingent empirical evidence on the solutions to three problems associated with univariate time series forecasting using machine learning (ML) algorithms by conducting an extensive multiple-case study. These problems are: (a) lagged variable selection, (b) hyperparameter handling, and (c) comparison between ML and classical algorithms. The multiple-case study is composed by 50 single-case studies, which use time series of mean monthly temperature and total monthly precipitation observed in Greece. We focus on two ML algorithms, i.e. neural networks and support vector machines, while we also include four classical algorithms and a naïve benchmark in the comparisons. We apply a fixed methodology to each individual case and, subsequently, we perform a cross-case synthesis to facilitate the detection of systematic patterns. We fit the models to the deseasonalized time series. We compare the one- and multi-step ahead forecasting performance of the algorithms. Regarding the one-step ahead forecasting performance, the assessment is based on the absolute error of the forecast of the last monthly observation. For the quantification of the multi-step ahead forecasting performance we compute five metrics on the test set (last year’s monthly observations), i.e. the root mean square error, the Nash-Sutcliffe efficiency, the ratio of standard deviations, the coefficient of correlation and the index of agreement. The evidence derived by the experiments can be summarized as follows: (a) the results mostly favour using less recent lagged variables, (b) hyperparameter optimization does not necessarily lead to better forecasts, (c) the ML and classical algorithms seem to be equally competitive.
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