Recursive Multi-step Time Series Forecasting by Perturbing Data

@article{Taieb2011RecursiveMT,
  title={Recursive Multi-step Time Series Forecasting by Perturbing Data},
  author={Souhaib Ben Taieb and Gianluca Bontempi},
  journal={2011 IEEE 11th International Conference on Data Mining},
  year={2011},
  pages={695-704}
}
The Recursive strategy is the oldest and most intuitive strategy to forecast a time series multiple steps ahead. At the same time, it is well-known that this strategy suffers from the accumulation of errors as long as the forecasting horizon increases. We propose a variant of the Recursive strategy, called RECNOISY, which perturbs the initial dataset at each step of the forecasting process in order to i) handle more properly the estimated values at each forecasting step and ii) decrease the… CONTINUE READING

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