Linear Model and Gradient Feature Elimination Algorithm Based on Seasonal Decomposition for Time Series Forecasting

In the wave of digital transformation and Industry 4.0, accurate time series forecasting has become critical across industries such as manufacturing, energy, and finance. However, while deep learning models offer high predictive accuracy, their lack of interpretability often undermines decision-makers’ trust. This study proposes a linear time series model architecture based on seasonal decomposition. The model effectively captures trends and seasonality using an additive decomposition, chosen based on initial data visualization, indicating stable seasonal variations. An augmented feature generator is introduced to enhance predictive performance by generating features such as differences, rolling statistics, and moving averages. Furthermore, we propose a gradient-based feature importance method to improve interpretability and implement a gradient feature elimination algorithm to reduce noise and enhance model accuracy. The approach is validated on multiple datasets, including order demand, energy load, and solar radiation, demonstrating its applicability to diverse time series forecasting tasks.

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Publication Details

Journal
Mathematics
Published
2025-03-06
DOI
https://doi.org/10.3390/math13050883
Citations
1
Primary Topic
Stock Market Forecasting Methods
Type
article
Field-Weighted Citation Impact
2.11
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article

Linear Model and Gradient Feature Elimination Algorithm Based on Seasonal Decomposition for Time Series Forecasting

Yi‐Hung Lin, Ya-Jin Lyu, Sheng-Tzong Cheng
1 citations
Mathematics
Stock Market Forecasting Methods
2.11
article

Linear Model and Gradient Feature Elimination Algorithm Based on Seasonal Decomposition for Time Series Forecasting

Yi‐Hung Lin, Ya-Jin Lyu, Sheng-Tzong Cheng
article en
1 citations

Abstract

In the wave of digital transformation and Industry 4.0, accurate time series forecasting has become critical across industries such as manufacturing, energy, and finance. However, while deep learning models offer high predictive accuracy, their lack of interpretability often undermines decision-makers’ trust. This study proposes a linear time series model architecture based on seasonal decomposition. The model effectively captures trends and seasonality using an additive decomposition, chosen based on initial data visualization, indicating stable seasonal variations. An augmented feature generator is introduced to enhance predictive performance by generating features such as differences, rolling statistics, and moving averages. Furthermore, we propose a gradient-based feature importance method to improve interpretability and implement a gradient feature elimination algorithm to reduce noise and enhance model accuracy. The approach is validated on multiple datasets, including order demand, energy load, and solar radiation, demonstrating its applicability to diverse time series forecasting tasks.

MathematicsVol. 13(5)
National Cheng Kung University (TW)
Affordable and clean energy
Openalex Percentile: Top 16%
Stock Market Forecasting Methods
2.11
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Linear Model and Gradient Feature Elimination Algorithm Based on Seasonal Decomposition for Time Series Forecasting — Yi‐Hung Lin, Ya-Jin Lyu, et al. · Mathematics (2025) | TGRS Research Map | TGRS