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Parameter optimization for forecast validation

Hello, is it possible to perform a parameter optimization for a forecast validation model? Does the window size, step size or horizon make a difference for the accuracy of the e.g. Holt-Winters model?

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Accepted answers

lionelderkrikor

Hi @Barclaeys,

You can find Martin's TS extension by going on the MarketPlace (Extension -> MarketPlace) and search for "forecasting" :

Image: https://us.v-cdn.net/6030995/uploads/editor/bh/qnic7pvm5nhx.png

Regards,

Lionel

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MartinLiebig

Hi @Barclaeys ,

yes of course. Again i would recommend you to have a look at my Auto-TS extension: https://community.rapidminer.com/discussion/57109/new-extension-how-to-do-time-series-forecasting-with-just-1-operator . Internally it is doing exactly this for you.

Note that you do not optimize on window_size, step_size nor horizon. Those are settings of your validation. you rather optimize alpha beta and gamma of HW.

Think about it like this: A validation is a technique to measure the accuracy of your model. You determine the settings of this "measurement" and then try to find the right parameters of the model. Something like a calibration.

Best,

Martin

Barclaeys

hi Martin, question where can I find your TS extension with new operator? Download a RM upgrade? A specific component that you built? Thanks

lionelderkrikor

Hi @Barclaeys,

You can find Martin's TS extension by going on the MarketPlace (Extension -> MarketPlace) and search for "forecasting" :

Regards,

Lionel

Barclaeys

Thank you Lionel - package installed! Will check it out now.