Intuit Inc.
METHOD AND SYSTEM OF DYNAMIC MODEL SELECTION FOR TIME SERIES FORECASTING

Abstract:

Forecasts are provided based on dynamic model selection for different sets of time series. A model comprises a transformation and a prediction algorithm. Given a time series, a transformation is selected for the time series and a prediction algorithm is selected to make a forecast based on the transformed time series. Sets of time series are distinguished from each other based on diverse sparsities, temporal scales and other time series attributes. A model is dynamically selected based on time series attributes to increase forecasting accuracy and decrease forecasting computation time. The dynamic model selection is based on the creation of a meta-model from historical sets of historical time series.