Engineering Alpha

Engineering Alpha

Orthogonal Matching Pursuit for Time Series Forecasting

Unconventional Machine Learning Models for Conventional Forecasting

Sofien Kaabar, CFA's avatar
Sofien Kaabar, CFA
Jul 10, 2026
∙ Paid

Time-series forecasting often begins with a simple idea.

Recent observations may contain information about the next one.

The researcher therefore creates lagged inputs. The value from one period ago becomes one input. The value from two periods ago becomes another. The process may continue through ten, fifty, or several hundred historical periods.

This cre…

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