Forecasting interrupted time series

Hyndman, Rob J. and Rostami-Tabar, Bahman ORCID: https://orcid.org/0000-0002-3730-0045 2024. Forecasting interrupted time series. Journal of the Operational Research Society 10.1080/01605682.2024.2395315

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Abstract

Forecasting interrupted time series data is a major challenge for forecasting teams, especially in light of events such as the COVID-19 pandemic. This paper investigates several strategies for dealing with interruptions in time series forecasting, including highly adaptable models, intervention models, marking interrupted periods as missing, forecasting what may have been, downweighting the interruption period, and ensemble models. Each approach offers specific advantages and disadvantages, such as adaptability, memory retention, data integrity, flexibility, and accuracy. We evaluate the effectiveness of these strategies using two actual datasets that were interrupted by COVID-19, and we provide recommendations for how to handle these interruptions. This work contributes to the literature on time series forecasting, offering insights for academics and practitioners dealing with interrupted data in numerous domains.

Item Type:	Article
Date Type:	Published Online
Status:	Published
Schools:	Business (Including Economics)
Publisher:	Taylor and Francis Group
ISSN:	0160-5682
Date of First Compliant Deposit:	12 July 2024
Date of Acceptance:	11 August 2024
Last Modified:	02 Oct 2024 15:06
URI:	https://orca.cardiff.ac.uk/id/eprint/170113

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