Artificial Intelligence Applications in Engineering (MUH-920), week 12 of 14: interactive lab

Forecast workbench: Baselines, smoothing and honest evaluation

Prof. Dr. Utku Kose, Süleyman Demirel University

Part A generates a monthly series with adjustable trend, seasonal amplitude, noise and an optional level shift, and compares naive, seasonal naive, moving average, trend-and-season regression and Holt-Winters exponential smoothing on a held-out final period [1]. Part B repeats the comparison over rolling origins and shows how the error grows with the horizon.

Part A: One origin, five methods

Part B: Rolling origins

Twelve origins, each followed by a 12-month horizon. The chart shows the mean absolute error for every horizon step and method.

References

[1] Hyndman, R. J., & Athanasopoulos, G. (2021). Forecasting: Principles and Practice (3rd ed.). OTexts. https://otexts.com/fpp3/

[2] Hochreiter, S., & Schmidhuber, J. (1997). Long short-term memory. Neural Computation, 9(8), 1735-1780. https://doi.org/10.1162/neco.1997.9.8.1735