Stochastic Recurrent Neural Network for Multistep Time Series Forecasting

Time series forecasting based on deep architectures has been gaining popularity in recent years due to their ability to model complex non-linear temporal dynamics. The recurrent neural network is one such model capable of handling variable-length input and output. In this paper, we leverage recent advances in deep generative models and the concept of state space models to propose a stochastic adaptation of the recurrent neural network for multistep-ahead time series forecasting, which is trained with stochastic gradient variational Bayes. In our model design, the transition function of the recurrent neural network, which determines the evolution of the hidden states, is stochastic rather than deterministic as in a regular recurrent neural network; this is achieved by incorporating a latent random variable into the transition process which captures the stochasticity of the temporal dynamics. Our model preserves the architectural workings of a recurrent neural network for which all relevant information is encapsulated in its hidden states, and this flexibility allows our model to be easily integrated into any deep architecture for sequential modelling. We test our model on a wide range of datasets from finance to healthcare; results show that the stochastic recurrent neural network consistently outperforms its deterministic counterpart

Long-term prediction of time series using state-space models

Abstract. State-space models offer a powerful modelling tool for time series prediction. However, as most algorithms are not optimized for longterm prediction, it may be hard to achieve good prediction results. In this paper, we investigate Gaussian linear regression filters for parameter estimation in state-space models and we propose new long-term prediction strategies. Experiments using the EM-algorithm for training of nonlinear state-space models show that significant improvements are possible with no additional computational cost.