Mobility

A Generic Multilevel Architecture for Time Series Prediction

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Executive Summary

Rapidly evolving businesses generate massive amounts of time-stamped data sequences and cause a demand for both univariate and multivariate time series forecasting. For such data, traditional predictive models based on auto-regression are often not sufficient to capture complex nonlinear relationships between multidimensional features and the time series outputs. In order to exploit these relationships for improved time series forecasting while also better dealing with a wider variety of prediction scenarios, a forecasting system requires a flexible and generic architecture to accommodate and tune various individual predictors as well as combination methods. In reply to this challenge, an architecture for combined, multilevel time series prediction is proposed, which is suitable for many different universal regressors and combination methods.

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