An LSTM Autoencoder is an implementation of an autoencoder for sequence data using an Encoder-Decoder LSTM architecture. Once fit, the encoder part of the model can be used to encode or compress sequence data that in turn may be used in data visualizations or as a feature vector input to a supervised learning model. In […]
LSTM Model Architecture for Rare Event Time Series Forecasting
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 […]
Comparing Classical and Machine Learning Algorithms for Time Series Forecasting
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 […]
Deep Learning Models for Univariate Time Series Forecasting
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 […]
How to Grid Search Naive Methods for Univariate Time Series Forecasting
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 […]
How to Grid Search SARIMA Hyperparameters for Time Series Forecasting
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 […]
How to Grid Search Triple Exponential Smoothing for Time Series Forecasting in Python
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 […]
How to Develop Multivariate Multi-Step Time Series Forecasting Models for Air Pollution
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 […]
How to Develop Multi-Step Time Series Forecasting Models for Air Pollution
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 […]
How to Develop Baseline Forecasts for Multi-Site Multivariate Air Pollution Time Series Forecasting
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 […]