N-BEATS: Neural basis expansion analysis for interpretable time series forecasting. (arXiv:1905.10437v1 [cs.LG])

We focus on solving the univariate times series point forecasting problem using deep learning. We propose a deep neural architecture based on backward and forward residual links and a very deep stack of fully-connected layers. The architecture has a number of desirable properties, being interpretable, applicable without modification to a wide array of target domains, and fast to train. We test the proposed architecture on the well-known M4 competition dataset containing 100k time series from diverse domains. We demonstrate state-of-the-art performance for two configurations of N-BEATS, improving forecast accuracy by 11% over a statistical benchmark and by 3% over last year's winner of the M4 competition, a domain-adjusted hand-crafted hybrid between neural network and statistical time series models. The first configuration of our model does not employ any time-series-specific components and its performance on the M4 dataset strongly suggests that, contrarily to received wisdom, deep learning primitives such as residual blocks are by themselves sufficient to solve a wide range of forecasting problems. Finally, we demonstrate how the proposed architecture can be augmented to provide outputs that are interpretable without loss in accuracy.

from cs updates on arXiv.org http://bit.ly/2EF61NU
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