A METHOD OF FORECASTING TIME SERIES DATA AND A SYSTEM THEREFOR

A method (100) of forecasting time series data is described. The method (100) comprises providing (102) time series data (104), checking (202) the provided time series data (104) for missing data, imputing data (408, 410) corresponding to data of the time series data (104) that has been identified as missing in the step of checking (202) the time series data (104), and including (412) the imputed data in place of identified missing time series data so as to provide corrected time series data. The method (100) also comprises running (108) a plurality of expert engine modules using the corrected time series data as an input to produce forecasted time series data, selecting (110) an expert engine module based on an error measurement associated with the forecasted time series data produced by each of the expert engine modules, and providing (112) forecasted time series data based on running the selected expert engine module using the corrected time series data as an input.