Robust Automated Ensemble Selection for Time Series Forecasting: The UASEP Framework

UASEP is introduced as a fully automated framework for unsupervised ensemble forecasting. This estimator is based on the median of all solutions proposed by the alPCA algorithm, so that the end user has a single reliable and robust solution. It is designed to obtain predictions for each of the time series included in the M3 competition. All you have to do is change the number of the time series, s, at the beginning of the code.