Replicating and Extending the M4 Study with sktime

This is a companion repository for our paper:

Markus Löning, Franz Király: “Forecasting with sktime: Designing sktime's New Forecasting API and Applying It to Replicate and Extend the M4 Study”, 2020; arXiv:2005.08067

The repository contains the code for reproducing our results. Our code is heavily based on sktime.

Makefile contains convenience commands for running the replication and extension from the command line,
scripts/ contains our code for replicating and extending the M4 study,
results/replicated/ contains our obtained predictive performance results,
requirements.txt contains the list of required packages to run our scripts.

To reproduce our results, we recommend to download the original repository of the M4 study, particularly we use

the M4 data set,
the individual point forecast results for comparison,
the summary results file to cross-check results.

In addition, you may have to adjust paths for the input and output directories in scripts/config.py.