timeSeriesForecasting

时间序列预测算法总结与整理

参考书籍

1. Forecasting: Principles and practice. https://otexts.com/fpp2/

竞赛

1. Kaggle, Web Traffic Time Series Forecasting: https://www.kaggle.com/c/web-traffic-time-series-forecasting/
2. M Competitions: https://mofc.unic.ac.cy/
   M4 Competitions的论文见 International Journal of Forecasting, Volume 36, Issue 1
3. Kaggle, ASHRAE - Great Energy Predictor III: https://www.kaggle.com/c/ashrae-energy-prediction

准确率评价标准

1. 均方误差(mean square error): MSE
2. 均方根误差(root mean square error): RMSE
3. 平均绝对误差(mean absolute error): MAE
4. 平均绝对百分比误差(mean absolute percentage error): MAPE
5. 对称平均绝对百分比误差(symmetric mean absolute percentage error): SMAPE

时间序列预测算法

1. 随机游走算法
2. 指数平滑算法类
3. ARIMA
4. 线性回归类
5. 深度学习类
6. 机器学习类
7. 集成算法
8. FB Prophet: https://facebook.github.io/prophet/