Ronald Richman, a Fellow of the Institute of Actuaries, discusses the ideas presented and summarizes his favorite talks at the M4 Conference in NYC, December 2018.
There were a number of excellent speakers whose key points (from my perspective) I summarize very briefly layer on in this blog, with the standout ones for me being:
- Slawek Smyl (winner of the competition with his “hybrid” method)
- Spyros Makridakis (M competitions)
- Nassim Taleb
- Pablo Montero-Manso (representing the runner up team in the competition with a boosting meta-learning method)
- Andrea Pasqua
What stood out most for me about Spyros’ talk was the focus on improving the state of the art of time series forecasting using hard evidence, and that seems to be the key theme running throughout his work on the M competitions and even before. As easy as it might be to favour a method based on how pleasing it is theoretically, the approach during the M competitions has been simply to check what works, and what doesn’t on out of sample error. This created what seems to be a huge amount of work in the M4 competition, in that Spyros and his team have replicated every submission (even those that take upwards of a month to run in full!) and I admire the dedication to advancing the state of the art!