GROEC: Combination method via Generalized Rolling Origin Evaluation

Jose Augusto Fiorucci, Francisco Louzada

International Journal of Forecasting 36 (2020) 105-109

https://doi.org/10.1016/j.ijforecast.2019.04.013

Combination methods have performed well in time series forecast competitions. This study proposes a simple but general methodology for combining time series forecast methods. Weights are calculated using a cross-validation scheme that assigns greater weights to methods with more accurate in-sample predictions. The methodology was used to combine forecasts from the Theta, exponential smoothing, and ARIMA models, and placed fifth in the M4 Competition for both point and interval forecasting.