Forecasting by blending algorithms to optimize near term and long term predictions

Abstract

Described is time-weighted blending of the results of time series algorithms in a manner that changes their relative weights based on the prediction time. The prediction values from each algorithm are mathematically blended into a forecast result corresponding to the desired time of prediction. In this manner, an ARTXP algorithm that provides accurate near term predictions is given more weight than an ARIMA for near term predictions, and less relative weight for long term predictions. An example exponential function to compute the relative weights is described; the function corresponds to a curve having a control variable for the slope and the start of the curve, and constant coefficients, with the weights based (in part) on the prediction time. A user-provided parameter may also affect the relative weights used in the blending result.