Author: John Hallman
The Makridakis competitions (aka the M competitions) are a series of open competitions in the space of time series forecasting that were first held in 1982.
The competitions have appeared at highly irregular intervals - the second one was held in 1993, the third one in 2000, the fourth one in 2018, the fifth one in 2020, and the sixth and most recent one is currently ongoing.
Today, we will be exploring the results from the M5 competition!
Table of Contents
Although the results from the M4 competition have been analyzed in more detail, there are a couple reasons why the M5 competition is particularly interesting and relevant:
<aside> 💡 Reason 1: data type
The datasets selected for the M4 competition are idealistically diverse with a richness that is rare to find in a typical cloud warehouse, with frequency ranging from yearly to hourly taken from stock, bond, and real estate prices, demographics, education, and more.
<aside> 💡 Reason 2: focus on uncertainty
For the first time, the M competition focuses not just on forecast accuracy, but also on confidence intervals. This means that models submitted to these competitions are useful not just for forecasting but also for anomaly detection!