Faithful and Interpretable Explanations for Complex Ensemble Time Series Forecasts using Surrogate Models and Forecastability Analysis

Abstract

Modern time series forecasting increasingly relies on complex ensemble models generated by AutoML systems like AutoGluon, delivering superior accuracy but with significant costs to transparency and interpretability. This paper introduces a comprehensive, dual-approach framework that addresses both the explainability and forecastability challenges in complex time series ensembles. First, we develop a surrogate-based explanation methodology that bridges the accuracy-interpretability gap by training a LightGBM model to faithfully mimic AutoGluon's time series forecasts, enabling stable SHAP-based feature attributions. We rigorously validated this approach through feature injection experiments, demonstrating remarkably high faithfulness between extracted SHAP values and known ground truth effects. Second, we integrated spectral predictability analysis to quantify each series' inherent forecastability. By comparing each time series' spectral predictability to its pure noise benchmarks, we established an objective mechanism to gauge confidence in forecasts and their explanations. Our empirical evaluation on the M5 dataset found that higher spectral predictability strongly correlates not only with improved forecast accuracy but also with higher fidelity between the surrogate and the original forecasting model. These forecastability metrics serve as effective filtering mechanisms and confidence scores, enabling users to calibrate their trust in both the forecasts and their explanations. We further demonstrated that per-item normalization is essential for generating meaningful SHAP explanations across heterogeneous time series with varying scales. The resulting framework delivers interpretable, instance-level explanations for state-of-the-art ensemble forecasts, while equipping users with forecastability metrics that serve as reliability indicators for both predictions and their explanations.