Last Updated on August 28, 2020 Real-world time series forecasting is challenging for a whole host of reasons not limited to problem features such as having multiple input variables, the requirement to predict multiple time steps, and the need to perform the same type of prediction for multiple physical sites. The EMC Data Science Global Hackathon dataset, or the ‘Air Quality Prediction’ dataset for short, describes weather conditions at multiple sites and requires a prediction of air quality measurements over […]

Last Updated on August 28, 2020 Exponential smoothing is a time series forecasting method for univariate data that can be extended to support data with a systematic trend or seasonal component. It is common practice to use an optimization process to find the model hyperparameters that result in the exponential smoothing model with the best performance for a given time series dataset. This practice applies only to the coefficients used by the model to describe the exponential structure of the […]

Last Updated on August 28, 2020 The Seasonal Autoregressive Integrated Moving Average, or SARIMA, model is an approach for modeling univariate time series data that may contain trend and seasonal components. It is an effective approach for time series forecasting, although it requires careful analysis and domain expertise in order to configure the seven or more model hyperparameters. An alternative approach to configuring the model that makes use of fast and parallel modern hardware is to grid search a suite […]

Last Updated on February 27, 2020 Simple forecasting methods include naively using the last observation as the prediction or an average of prior observations. It is important to evaluate the performance of simple forecasting methods on univariate time series forecasting problems before using more sophisticated methods as their performance provides a lower-bound and point of comparison that can be used to determine of a model has skill or not for a given problem. Although simple, methods such as the naive […]

Last Updated on August 28, 2020 Deep learning neural networks are capable of automatically learning and extracting features from raw data. This feature of neural networks can be used for time series forecasting problems, where models can be developed directly on the raw observations without the direct need to scale the data using normalization and standardization or to make the data stationary by differencing. Impressively, simple deep learning neural network models are capable of making skillful forecasts as compared to […]

Last Updated on August 5, 2019 Machine learning and deep learning methods are often reported to be the key solution to all predictive modeling problems. An important recent study evaluated and compared the performance of many classical and modern machine learning and deep learning methods on a large and diverse set of more than 1,000 univariate time series forecasting problems. The results of this study suggest that simple classical methods, such as linear methods and exponential smoothing, outperform complex and […]

Last Updated on August 5, 2019 Time series forecasting with LSTMs directly has shown little success. This is surprising as neural networks are known to be able to learn complex non-linear relationships and the LSTM is perhaps the most successful type of recurrent neural network that is capable of directly supporting multivariate sequence prediction problems. A recent study performed at Uber AI Labs demonstrates how both the automatic feature learning capabilities of LSTMs and their ability to handle input sequences […]

Last Updated on August 28, 2020 Time series data must be transformed into a structure of samples with input and output components before it can be used to fit a supervised learning model. This can be challenging if you have to perform this transformation manually. The Keras deep learning library provides the TimeseriesGenerator to automatically transform both univariate and multivariate time series data into samples, ready to train deep learning models. In this tutorial, you will discover how to use […]

Last Updated on August 28, 2020 Multilayer Perceptrons, or MLPs for short, can be applied to time series forecasting. A challenge with using MLPs for time series forecasting is in the preparation of the data. Specifically, lag observations must be flattened into feature vectors. In this tutorial, you will discover how to develop a suite of MLP models for a range of standard time series forecasting problems. The objective of this tutorial is to provide standalone examples of each model […]