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M4 Competition: Answering another Interesting Question ~ The following interesting question was posed by an M4 Participant:

“Does the method being used have to be used on ALL of the data, or could one use different methods, let’s say based on the series frequency? For instance, let’s say I want to use temporal hierarchies. They can be used on sub yearly data, but not yearly since there is no hierarchy to estimate. This would require me to use a different method on annual data”.

The aim of the M4 Competition is to learn as much as possible about ways to improve forecasting accuracy so any innovative idea for doing so is encouraged. This means the answer to the above question is yes, a different method can be used for different frequencies and categories of data, or even for time series with varying characteristics (e.g., Simple Exponential Smoothing for series with high randomness or Holt’s for series with a consistent trend). However, the selection process must be clearly explained and enough information must be provided so that it could be properly replicated. Ideally, the code for performing model selection should become available in the M4 Competition GitHub.

We will keep you informed when new developments and interesting questions, as the one presented, arise. Such information will be published on the M4 site under “Rules, Announcements – Debating the Rules.”

For more information on the M4 Competition:

The M4 Competition Team

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