Abstract:

This paper aims at comparing different forecasting strategies combined with the STL decomposition method. STL is a versatile and robust time series decomposition method. The forecasting strategies we consider are as follows: three statistical methods (ARIMA, ETS, and Theta), five machine learning methods (KNN, SVR, CART, RF, and GP), and two versions of RNNs (CNN-LSTM and ConvLSTM). We conduct the forecasting test on six horizons (1, 6, 12, 18, and 24 months). Our results show that, when applied to monthly industrial M3 Competition data as a preprocessing step, STL decomposition can benefit forecasting using statistical methods but harms the machine learning ones. Moreover, the STL-Theta combination method displays the best forecasting results on four over the five forecasting horizons.

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