Enhancing Algorithm Performance Understanding through tsMorph: Generating Semi-Synthetic Time Series for Robust Forecasting Evaluation

Time series forecasting is a subject of significant scientific and industrial importance. Despite the widespread utilization of forecasting methods, there is a dearth of research aimed at comprehending the conditions under which these methods yield favorable or unfavorable performances. Empirical studies, although common, are challenged by the limited availability of time series datasets, restricting the extraction of reliable insights. To address this limitation, we present tsMorph, a tool for generating semi-synthetic time series through dataset morphing. tsMorph works by creating a sequence of datasets from two original datasets. The characteristics of the generated datasets progressively depart from those of one of the datasets and converge toward the attributes of the other dataset. This method provides a valuable alternative for obtaining substantial datasets. In this paper, we show the benefits of tsMorph by assessing the predictive performance of the Long Short-Term Memory Network and DeepAR forecasting algorithms. The time series used for the experiments comes from the NN5 Competition. The experimental results provide important insights. Notably, the performances of the two algorithms improve proportionally with the frequency of the time series. These experiments confirm that tsMorph can be an effective tool for better understanding the behavior of forecasting algorithms, delivering a pathway to overcoming the limitations posed by empirical studies and enabling more extensive and reliable experiments.