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AI & Machine Learning · Intermediate

Time Series Forecasting

Predicting future values of a variable from its historical, time-ordered observations.

Definition

Forecasting models capture trend, seasonality and cycles, and may include external regressors. Methods range from ARIMA and exponential smoothing to gradient boosting and deep learning models such as DeepAR. Validation must use time-ordered splits to avoid leakage.

Example

Forecasting daily product demand for the next 30 days.

Exam tip

Never randomly shuffle time-series data for validation; use rolling or forward-chaining splits.

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