Time Series Forecasting
295 papers with code • 16 benchmarks • 19 datasets
Time Series Forecasting is the task of fitting a model to historical, time-stamped data in order to predict future values. Traditional approaches include moving average, exponential smoothing, and ARIMA, though models as various as RNNs, Transformers, or XGBoost can also be applied. The most popular benchmark is the ETTh1 dataset. Models are typically evaluated using the Mean Square Error (MSE) or Root Mean Square Error (RMSE).
( Image credit: ThaiBinh Nguyen )
Our method uses a multilayered Long Short-Term Memory (LSTM) to map the input sequence to a vector of a fixed dimensionality, and then another deep LSTM to decode the target sequence from the vector.
Multi-horizon forecasting problems often contain a complex mix of inputs -- including static (i. e. time-invariant) covariates, known future inputs, and other exogenous time series that are only observed historically -- without any prior information on how they interact with the target.
Multivariate time series forecasting is an important machine learning problem across many domains, including predictions of solar plant energy output, electricity consumption, and traffic jam situation.
Probabilistic forecasting, i. e. estimating the probability distribution of a time series' future given its past, is a key enabler for optimizing business processes.
We introduce Gluon Time Series (GluonTS, available at https://gluon-ts. mxnet. io), a library for deep-learning-based time series modeling.
Many real-world applications require the prediction of long sequence time-series, such as electricity consumption planning.
The explosion of time series data in recent years has brought a flourish of new time series analysis methods, for forecasting, clustering, classification and other tasks.