Open AccessDetermining the Rolling Window Size of Deep Neural Network Based Models on Time Series Forecasting
Author(s) -
Li Shen,
Zi-Jin Wei,
Yangzhu Wang
Publication year - 2021
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/2078/1/012011
Subject(s) - computer science , autoregressive integrated moving average , autoregressive model , time series , series (stratigraphy) , artificial neural network , noise (video) , artificial intelligence , white noise , machine learning , algorithm , data mining , econometrics , mathematics , paleontology , telecommunications , image (mathematics) , biology
Time series forecasting has always been a significant task in various domains. In this paper, we propose DeepARMA, a LSTM-based recurrent neural network to tackle this problem. DeepARMA is derived from an existing time series forecasting baseline, DeepAR, overcoming two of its weaknesses: (1) rolling window size determination: the way DeepAR determines rolling window size is casual and vulnerable, which may lead to the unnecessary computation and inefficiency of the model;(2) neglect of the noise: pure autoregressive model cannot deal with the condition where data are composed of various kinds of noise, neither do most of time series models including DeepAR. In order to solve these two problems, we first combine a classic information theoretic criterion, AIC, with the network to determine the proper rolling window size. Then, we propose a jointly-learned neural network fusing white Gaussian noise series given by ARIMA models to DeepAR’s input. That is exactly why we name the network ‘DeepARMA’. Our experiments on a real-world dataset demonstrate that our improvement settles those two problems put forward above.