Effective feature preprocessing for time series forecasting

  • Authors:
  • Jun Hua Zhao;ZhaoYang Dong;Zhao Xu

  • Affiliations:
  • The School of Information Technology and Electrical Engineering, The University of Queensland, St Lucia, QLD, Australia;The School of Information Technology and Electrical Engineering, The University of Queensland, St Lucia, QLD, Australia;Centre for Electric Technology (CET), Ørsted*DTU, Technical University of Denmark, Kgs. Lyngby, DK, Denmark

  • Venue:
  • ADMA'06 Proceedings of the Second international conference on Advanced Data Mining and Applications
  • Year:
  • 2006

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Abstract

Time series forecasting is an important area in data mining research. Feature preprocessing techniques have significant influence on forecasting accuracy, therefore are essential in a forecasting model. Although several feature preprocessing techniques have been applied in time series forecasting, there is so far no systematic research to study and compare their performance. How to select effective techniques of feature preprocessing in a forecasting model remains a problem. In this paper, the authors conduct a comprehensive study of existing feature preprocessing techniques to evaluate their empirical performance in time series forecasting. It is demonstrated in our experiment that, effective feature preprocessing can significantly enhance forecasting accuracy. This research can be a useful guidance for researchers on effectively selecting feature preprocessing techniques and integrating them with time series forecasting models.