Surrogate Modeling for Explainable Predictive Time Series Corrections

We introduce a local surrogate approach for explainable time-series forecasting.

An initially non-interpretable predictive model to improve the forecast of a classical time-series 'base model' is used.

'Explainability' of the correction is provided by fitting the base model again to the data from which the error prediction is removed (subtracted), yielding a difference in the model parameters which can be interpreted.

We provide illustrative examples to demonstrate the potential of the method to discover and explain underlying patterns in the data.