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Boosted Embeddings for Time Series Forecasting

2021-04-10 14:38:11
Sankeerth Rao Karingula, Nandini Ramanan, Rasool Tahsambi, Mehrnaz Amjadi, Deokwoo Jung, Ricky Si, Charanraj Thimmisetty, Claudionor Nunes Coelho Jr

Abstract

Time series forecasting is a fundamental task emerging from diverse data-driven applications. Many advanced autoregressive methods such as ARIMA were used to develop forecasting models. Recently, deep learning based methods such as DeepAr, NeuralProphet, Seq2Seq have been explored for time series forecasting problem. In this paper, we propose a novel time series forecast model, DeepGB. We formulate and implement a variant of Gradient boosting wherein the weak learners are DNNs whose weights are incrementally found in a greedy manner over iterations. In particular, we develop a new embedding architecture that improves the performance of many deep learning models on time series using Gradient boosting variant. We demonstrate that our model outperforms existing comparable state-of-the-art models using real-world sensor data and public dataset.

Abstract (translated)

URL

https://arxiv.org/abs/2104.04781

PDF

https://arxiv.org/pdf/2104.04781.pdf


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