VEST: automatic feature engineering for forecasting

• Type: Article in International Scientific Journal
• Date: 2024

Authors

Vítor Cerqueira (Author) Other; Nuno Moniz (Author) Other; Carlos Soares (Author) FEUP

Journal

Title: Machine Learning

Vol. 113

Pages: 4523-4545

ISSN: 0885-6125

Publisher: Springer Nature

Indexing

ISI Web of Knowledge - 13 Citations

Scopus - 7 Citations

Other information

Authenticus ID: P-00S-W1N

DOI: 10.1007/s10994-021-05959-y

Abstract (EN): Time series forecasting is a challenging task with applications in a wide range of domains. Auto-regression is one of the most common approaches to address these problems. Accordingly, observations are modelled by multiple regression using their past lags as predictor variables. We investigate the extension of auto-regressive processes using statistics which summarise the recent past dynamics of time series. The result of our research is a novel framework called VEST, designed to perform feature engineering using univariate and numeric time series automatically. The proposed approach works in three main steps. First, recent observations are mapped onto different representations. Second, each representation is summarised by statistical functions. Finally, a filter is applied for feature selection. We discovered that combining the features generated by VEST with auto-regression significantly improves forecasting performance in a database composed by 90 time series with high sampling frequency. However, we also found that there are no improvements when the framework is applied for multi-step forecasting or in time series with low sample size. VEST is publicly available online.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 23