A comparison of AdaBoost algorithms for time series forecast combination

Devon K. Barrow*, Sven F. Crone

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

23 Citations (Scopus)


Recently, combination algorithms from machine learning classification have been extended to time series regression, most notably seven variants of the popular AdaBoost algorithm. Despite their theoretical promise their empirical accuracy in forecasting has not yet been assessed, either against each other or against any established approaches of forecast combination, model selection, or statistical benchmark algorithms. Also, none of the algorithms have been assessed on a representative set of empirical data, using only few synthetic time series. We remedy this omission by conducting a rigorous empirical evaluation using a representative set of 111 industry time series and a valid and reliable experimental design. We develop a full-factorial design over derived Boosting meta-parameters, creating 42 novel Boosting variants, and create a further 47 novel Boosting variants using research insights from forecast combination. Experiments show that only few Boosting meta-parameters increase accuracy, while meta-parameters derived from forecast combination research outperform others.

Original languageEnglish
Pages (from-to)1103-1119
Number of pages17
JournalInternational Journal of Forecasting
Issue number4
Early online date1 Jun 2016
Publication statusPublished - 1 Oct 2016


  • Boosting
  • Ensemble
  • Forecasting
  • Model combination
  • Neural networks
  • Time series

ASJC Scopus subject areas

  • Business and International Management


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