Time Series Forecasting using RNN

Abstract

Time series forecasting is essential across various fields such as finance, economics, meteorology, and healthcare, where accurate predictions are crucial for effective decision- making. Traditional statistical methods often fall short in capturing the intricate patterns and long- term dependencies inherent in time series data, limiting their practical applicability. This research investigates the application of Long Short-Term Memory (LSTM) networks, a type of Recurrent Neural Network (RNN), to enhance forecasting accuracy. LSTMs are particularly well-suited for this task due to their ability to process and retain information over extended sequences, allowing them to capture complex temporal relationships that conventional methods might overlook. This work employs a comprehensive approach that includes advanced data preprocessing, feature engineering, and model architecture design, combined with meticulous hyperparameter tuning to optimize performance. The effectiveness of the LSTM- based approach is evaluated using the M4 competition dataset, which is widely recognized for its complexity and diversity in time series data. The results demonstrate that the optimized LSTM model consistently outperforms traditional statistical methods. Specifically, it shows superior accuracy in capturing both short-term fluctuations and long- term trends. Performance metrics, including Mean Absolute Scaled Error (MASE) and Symmetric Mean Absolute Percentage Error (sMAPE), reveal significantly lower error rates with the LSTM model compared to conventional approaches. The LSTM model’s proficiency in predicting long-term trends further highlights its effectiveness in practical time series forecasting scenarios. Overall, LSTMs prove to be a robust tool for time series forecasting, offering substantial improvements over traditional methods by effectively leveraging long-term dependencies in data. These models are especially valuable in fields like finance, economics, and healthcare. Future studies could aim to further optimize LSTM models and explore their application to other complex datasets, pushing the boundaries of this field even further.