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M4 Competition
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Jun 11, 2018
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This is the source code of the submission "Weighted Ensemble of Statistical Models" to the M4 forecasting competition by ProLogistica Soft. | ||
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1. REQUIREMENTS | ||
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This software was developed and tested on Windows 7 Professional (64bit) in R 3.5.0, with the following packages: | ||
M4comp2018 0.1.0 (https://github.com/carlanetto/M4comp2018) | ||
trend 1.1.0 | ||
pracma 2.1.4 | ||
forecast 8.2 (version is important here, expect different results on forecast 8.3) | ||
sets 1.0-18 | ||
dplyr 0.7.4 | ||
pbapply 1.3-4 | ||
robustbase 0.93-0 | ||
abind 1.4-5 | ||
parallel 3.5.0 | ||
stats 3.5.0 | ||
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We would also like to credit the forecTheta 2.2 package. We use a slightly modified version of forecTheta::otm function, so the package itself is not required. | ||
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For trouble-free usage 12 GB RAM is strongly recommended. | ||
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2. QUICK GUIDE | ||
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Set a path to the "tester" directory (see the comment at the top of M4tools.R). | ||
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For the forecasting demo on a small subset of M4 data set, see M4/M4demo.R | ||
For the step-by-step example experiment setup on M4 Yearly data, go to M4/tests/M4test.yearly.R | ||
The code to fully replicate our solution (for the entirety of M4 data) resides in M4/final/M4final.all.R | ||
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For the details of our method, refer to M4-Method-Description-ProLogistica_Soft.pdf | ||
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NOTE: Due to a minor mistake we made when preparing the final submission, a small group of series got assigned wrong forecasts. This means there will be a tiny discrepancy between our submission and the result calculated by the attached source code (where the problem was fixed). This concerns roughly 250 series from Daily category. | ||
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--------------------------------------------- | ||
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ProLogistica Soft Sp. z. o. o. | ||
ul. Ostrowskiego 9 | ||
53-238 Wrocław, Poland | ||
[email protected] | ||
www.prologistica.pl |
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