Time Series Smoothing Improving Forecasting

Abstract Both statistical and neural network methods may fail in forecasting time series even operating on a great amount of data. It is an open question of which amount fits best to make sufficiently accurate forecasts on it. This implies that the length or time series might be optimised. Hence, the objective is to improve the quality of forecasting by an assumption that parameters are set nearly at their optimal values. To achieve objective, the two types of the benchmark time series are considered: sine-shaped series and random-like series with repeatability. Trend, seasonality, and decay properties embedded into each type. Based on the benchmark of 24 time series models, it is ascertained that, for improving the forecasting, the time series should be smoothed and then downsampled. These operations can be fulfilled successively until the improvement fails. If preliminary smoothing worsens forecasts, the raw time series is straightforwardly downsampled until the forecasting accuracy starts dropping. However, if time series has a visible property of being noised, the preliminary smoothing is strongly recommended.