An Analysis of Linear Time Series Forecasting Models

arXiv:2403.14587v1 Announce Type: new
Abstract: Despite their simplicity, linear models perform well at time series forecasting, even when pitted against deeper and more expensive models. A number of variations to the linear model have been proposed, often including some form of feature normalisation that improves model generalisation. In this paper we analyse the sets of functions expressible using these linear model architectures. In so doing we show that several popular variants of linear models for time series forecasting are equivalent …

abstract analysis arxiv cs.lg feature forecasting form linear linear model paper series simplicity time series time series forecasting type