Deep learning

Physics

Dependency (UML)

Term (time)

Data mining

Machine learning

Recurrent neural network

Time series

Autoregressive model

Gaussian

Econometrics

Leverage (statistics)

Artificial intelligence

Economics

Computer science

Gaussian process

Quantum mechanics

Artificial neural network

Data modeling

Database

Convolutional neural network

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. Temporal data arise in these real-world applications often involves a mixture of long-term and short-term patterns, for which traditional approaches such as Autoregressive models and Gaussian Process may fail. In this paper, we proposed a novel deep learning framework, namely Long- and Short-term Time-series network (LSTNet), to address this open challenge. LSTNet uses the Convolution Neural Network (CNN) and the Recurrent Neural Network (RNN) to extract short-term local dependency patterns among variables and to discover long-term patterns for time series trends. Furthermore, we leverage traditional autoregressive model to tackle the scale insensitive problem of the neural network model. In our evaluation on real-world data with complex mixtures of repetitive patterns, LSTNet achieved significant performance improvements over that of several state-of-the-art baseline methods. All the data and experiment codes are available online.

Modeling Long- and Short-Term Temporal Patterns with Deep Neural Networks