journal article·2025-08-30Open access

A Robust Hybrid Forecasting Framework for the M3 and M4 Competitions: Combining ARIMA and Ata Models with Performance-Based Model Selection

Tuğçe Ekiz Yılmaz, Güçkan Yapar

Applied Sciences· Volume 15· Issue 17

Abstract

This study proposes a hybrid forecasting framework that integrates the Auto-Regressive Integrated Moving Average (ARIMA) model with multiple variations of the Ata model, using a performance-based model selection strategy to enhance forecasting accuracy on the M3 and M4 competition datasets. For each time series, seven versions of the Ata model are generated by adjusting level and trend parameters, and the version with the lowest in-sample symmetric mean absolute percentage error (sMAPE) is selected. To improve robustness and prevent overfitting, the median-performing Ata model is also included. These selected models’ forecasts are then combined with ARIMA outputs through optimized weighting schemes tailored to the characteristics of each series. Given the varying frequencies (e.g., yearly, quarterly, monthly, weekly, daily, and hourly) and diverse lengths of time series, a grid search algorithm is employed to determine the best hybrid combination for each frequency group. The model is applied in a series-specific manner, allowing it to adapt to different seasonal, trend, and irregular patterns. Extensive empirical results demonstrate that the hybrid model outperforms its individual components and traditional benchmarks across all frequency categories. It ranked first in the M3 competition and achieved second place in the M4 competition based on the official error metric, the sMAPE and Overall Weighted Average (OWA), respectively. The results highlight the framework’s adaptability and scalability for complex, heterogeneous time series environments.
Source: crossref · Quality: baseline

Research context

OpenAlex topics: Forecasting Techniques and Applications · Stock Market Forecasting Methods · Energy Load and Power Forecasting

SciVX discovery tags are terminology-based. OpenAlex topics are source-provided classifications.

Affiliations

Department of Statistics, Faculty of Science, Dokuz Eylül University, Buca, 35390 Izmir, Türkiye

Funding

Scientific and Technological Research Council of Türkiye (TÜBİTAK) for 2211/A National PhD scholarship program · Council of Higher Education (YÖK) 100/2000 PhD Scholarship Program

References (24)

Show source-provided references
1. The M3-Competition: Results, conclusions and implications10.1016/S0169-2070(00)00057-1 ↗
2. The M4 Competition: Results, findings, conclusion and way forward10.1016/j.ijforecast.2018.06.001 ↗
3. The M4 Competition: 100,000 time series and 61 forecasting methods10.1016/j.ijforecast.2019.04.014 ↗
4. Time series forecasting using a hybrid ARIMA and neural network model10.1016/S0925-2312(01)00702-0 ↗
5. Atesongun, A., and Gulsen, M. (2024). A hybrid forecasting structure based on arima and artificial neural network models. Appl. Sci., 14.10.20944/preprints202407.0808.v1 ↗
6. Tsoku, J.T., Metsileng, D., and Botlhoko, T. (2024). A Hybrid of Box-Jenkins ARIMA Model and Neural Networks for Forecasting South African Crude Oil Prices. Int. J. Financial Stud., 12.10.3390/ijfs12040118 ↗
7. Alshawarbeh, E., Abdulrahman, A.T., and Hussam, E. (2023). Statistical modeling of high frequency datasets using the ARIMA-ANN hybrid. Mathematics, 11.10.3390/math11224594 ↗
8. A hybrid method of exponential smoothing and recurrent neural networks for time series forecasting10.1016/j.ijforecast.2019.03.017 ↗
9. Modeling and forecasting carbon dioxide emission in Pakistan using a hybrid combination of regression and time series models10.1016/j.heliyon.2024.e33148 ↗
10. A Hybrid Approach to Time Series Forecasting: Integrating ARIMA and Prophet for Improved Accuracy10.1016/j.rineng.2025.105703 ↗
11. Comparative Analysis of Machine Learning, Hybrid, and Deep Learning Forecasting Models: Evidence from European Financial Markets and Bitcoins10.3390/forecast5020026 ↗
12. Qin, P., Ye, B., Li, Y., Cai, Z., Gao, Z., Qi, H., and Ding, Y. (2025). Hybrid BiLSTM-ARIMA Architecture with Whale-Driven Optimization for Financial Time Series Forecasting. Algorithms, 18.10.3390/a18080517 ↗
13. Çınarer, G. (2025). Hybrid Deep Learning and Stacking Ensemble Model for Time Series-Based Global Temperature Forecasting. Electronics, 14.10.3390/electronics14163213 ↗
14. Dong, Z., and Zhou, Y. (2024). A Novel Hybrid Model for Financial Forecasting Based on CEEMDAN-SE and ARIMA-CNN-LSTM. Mathematics, 12.10.3390/math12162434 ↗
15. Iacobescu, P., and Susnea, I. (2025). Hybrid ARIMA-ANN for Crime Risk Forecasting: Enhancing Interpretability and Predictive Accuracy Through Socioeconomic and Environmental Indicators. Algorithms, 18.10.3390/a18080470 ↗
16. Liagkouras, K., and Metaxiotis, K. (2025). A Hybrid Long Short-Term Memory with a Sentiment Analysis System for Stock Market Forecasting. Electronics, 14.10.3390/electronics14142753 ↗
17. Liu, Z., Zhang, Z., and Zhang, W. (2025). A Hybrid Framework Integrating Traditional Models and Deep Learning for Multi-Scale Time Series Forecasting. Entropy, 27.10.3390/e27070695 ↗
18. Karim, A.A., Pardede, E., and Mann, S. (2023). A model selection approach for time series forecasting: Incorporating google trends data in Australian macro indicators. Entropy, 25.10.3390/e25081144 ↗
19. Dynamic selection of machine learning models for time-series data10.1016/j.ins.2024.120360 ↗
20. Wei, W., Yang, T., Chen, H., Rossi, R.A., Zhao, Y., Dernoncourt, F., and Eldardiry, H. (2025). Efficient Model Selection for Time Series Forecasting via LLMs. arXiv.
21. Modified Holt’s linear trend method
23. Ata method’s performance in the M4 competition
24. Box, G.E.P., and Jenkins, G.M. (1970). Time Series Analysis: Forecasting and Control, John Wiley and Sons.