The well-developed ETS (ExponenTial Smoothing or Error, Trend, Seasonality) method incorporating a family of exponential smoothing models in state space representation has been widely used for automatic forecasting. The existing ETS method uses information criteria for model selection by choosing an optimal model with the smallest information criterion among all models fitted to a given time series. The ETS method under such a model selection scheme suffers from computational complexity when applied to large-scale time series data. To tackle this issue, we propose an efficient approach for ETS model selection by training classifiers on simulated data to predict appropriate model component forms for a given time series. We provide a simulation study to show the model selection ability of the proposed approach on simulated data. We evaluate our approach on the widely used forecasting competition data set M4, in terms of both point forecasts and prediction intervals. To demonstrate the practical value of our method, we showcase the performance improvements from our approach on a monthly hospital data set.

本文提出了一种训练分类器来选择ETS模型组件形式的方法，以更高效地选出适当的模型，并在M4预测竞赛数据集和医院月度数据集上进行了实证研究。

fETSmcs: 基于特征的ETS模型组件选择