A novel time series forecasting model with deep learning

Abstract

Time series forecasting is emerging as one of the most important branches of big data analysis. However, traditional time series forecasting models can not effectively extract good enough sequence data features and often result in poor forecasting accuracy. In this paper, a novel time series forecasting model, named SeriesNet, which can fully learn features of time series data in different interval lengths. The SeriesNet consists of two networks. The LSTM network aims to learn holistic features and to reduce dimensionality of multi-conditional data, and the dilated causal convolution network aims to learn different time interval. This model can learn multi-range and multi-level features from time series data, and has higher predictive accuracy compared those models using fixed time intervals. Moreover, this model adopts residual learning and batch normalization to improve generalization. Experimental results show our model has higher forecasting accuracy and has greater stableness on several typical time series datasets.