# Multi-layer Stack Ensembles for Time Series Forecasting

arXiv: https://arxiv.org/abs/2511.15350 · HTML: https://mlsanity.com/paper/2511.15350/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 33 of its 74 references that are in the map.
- First posted on arXiv 19 Nov 2025.

## Builds on (most cited first, 30 of 33)

- [Adam: A Method for Stochastic Optimization](https://mlsanity.com/paper/1412.6980/) (2014)
- [Training a Helpful and Harmless Assistant with Reinforcement Learning from Human Feedback](https://mlsanity.com/paper/2204.05862/) (2022)
- [A Time Series is Worth 64 Words: Long-term Forecasting with Transformers](https://mlsanity.com/paper/2211.14730/) (2022)
- [Are Transformers Effective for Time Series Forecasting?](https://mlsanity.com/paper/2205.13504/) (2022)
- [Chatbot Arena: An Open Platform for Evaluating LLMs by Human Preference](https://mlsanity.com/paper/2403.04132/) (2024)
- [DeepAR: Probabilistic Forecasting with Autoregressive Recurrent Networks](https://mlsanity.com/paper/1704.04110/) (2017)
- [Temporal Fusion Transformers for Interpretable Multi-horizon Time Series Forecasting](https://mlsanity.com/paper/1912.09363/) (2019)
- [Chronos: Learning the Language of Time Series](https://mlsanity.com/paper/2403.07815/) (2024)
- [A decoder-only foundation model for time-series forecasting](https://mlsanity.com/paper/2310.10688/) (2023)
- [Unified Training of Universal Time Series Forecasting Transformers](https://mlsanity.com/paper/2402.02592/) (2024)
- [AutoGluon-Tabular: Robust and Accurate AutoML for Structured Data](https://mlsanity.com/paper/2003.06505/) (2020)
- [Long-term Forecasting with TiDE: Time-series Dense Encoder](https://mlsanity.com/paper/2304.08424/) (2023)
- [Monash Time Series Forecasting Archive](https://mlsanity.com/paper/2105.06643/) (2021)
- [GIFT-Eval: A Benchmark For General Time Series Forecasting Model Evaluation](https://mlsanity.com/paper/2410.10393/) (2024)
- [Tiny Time Mixers (TTMs): Fast Pre-trained Models for Enhanced Zero/Few-Shot Forecasting of Multivariate Time Series](https://mlsanity.com/paper/2401.03955/) (2024)
- [Deep Learning for Time Series Forecasting: Tutorial and Literature Survey](https://mlsanity.com/paper/2004.10240/) (2020)
- [sktime: A Unified Interface for Machine Learning with Time Series](https://mlsanity.com/paper/1909.07872/) (2019)
- [Better by Default: Strong Pre-Tuned MLPs and Boosted Trees on Tabular Data](https://mlsanity.com/paper/2407.04491/) (2024)
- [Darts: User-Friendly Modern Machine Learning for Time Series](https://mlsanity.com/paper/2110.03224/) (2021)
- [Elo Uncovered: Robustness and Best Practices in Language Model Evaluation](https://mlsanity.com/paper/2311.17295/) (2023)
- [Kaggle forecasting competitions: An overlooked learning opportunity](https://mlsanity.com/paper/2009.07701/) (2020)
- [AMLB: an AutoML Benchmark](https://mlsanity.com/paper/2207.12560/) (2022)
- [Criteria for Classifying Forecasting Methods](https://mlsanity.com/paper/2212.03523/) (2022)
- [AutoGluon-TimeSeries: AutoML for Probabilistic Time Series Forecasting](https://mlsanity.com/paper/2308.05566/) (2023)
- [Forecast combinations: an over 50-year review](https://mlsanity.com/paper/2205.04216/) (2022)
- [TabRepo: A Large Scale Repository of Tabular Model Evaluations and its AutoML Applications](https://mlsanity.com/paper/2311.02971/) (2023)
- [Flexible Model Aggregation for Quantile Regression](https://mlsanity.com/paper/2103.00083/) (2021)
- [Efficient Automated Deep Learning for Time Series Forecasting](https://mlsanity.com/paper/2205.05511/) (2022)
- [A study on Ensemble Learning for Time Series Forecasting and the need for Meta-Learning](https://mlsanity.com/paper/2104.11475/) (2021)
- [CMA-ES for Post Hoc Ensembling in AutoML: A Great Success and Salvageable Failure](https://mlsanity.com/paper/2307.00286/) (2023)

## Abstract (arXiv)

Ensembling is a powerful technique for improving the accuracy of machine learning models, with methods like stacking achieving strong results in tabular tasks. In time series forecasting, however, ensemble methods remain underutilized, with simple linear combinations still considered state-of-the-art. In this paper, we systematically explore ensembling strategies for time series forecasting. We evaluate 33 ensemble models -- both existing and novel -- across 50 real-world datasets. Our results show that stacking consistently improves accuracy, though no single stacker performs best across all tasks. To address this, we propose a multi-layer stacking framework for time series forecasting, an approach that combines the strengths of different stacker models. We demonstrate that this method consistently provides superior accuracy across diverse forecasting scenarios. Our findings highlight the potential of stacking-based methods to improve AutoML systems for time series forecasting.