Deep Learning for Time Series Forecasting: A Survey

作者：J. F. Torres, Dalil Hadjout, Abderrazak Sebaa, Francisco Martinez Alvarez, Alicia Troncoso · 发表于：Big Data · 年份：2020 · DOI：10.1089/big.2020.0159 · 被引用次数：820 · 研究领域：Time Series Analysis and Forecasting、Stock Market Forecasting Methods、Anomaly Detection Techniques and Applications

Time series forecasting has become a very intensive field of research, which is even increasing in recent years. Deep neural networks have proved to be powerful and are achieving high accuracy in many application fields. For these reasons, they are one of the most widely used methods of machine learning to solve problems dealing with big data nowadays. In this work, the time series forecasting problem is initially formulated along with its mathematical fundamentals. Then, the most common deep learning architectures that are currently being successfully applied to predict time series are described, highlighting their advantages and limitations. Particular attention is given to feed forward networks, recurrent neural networks (including Elman, long-short term memory, gated recurrent units, and bidirectional networks), and convolutional neural networks. Practical aspects, such as the setting of values for hyper-parameters and the choice of the most suitable frameworks, for the successful application of deep learning to time series are also provided and discussed. Several fruitful research fields in which the architectures analyzed have obtained a good performance are reviewed. As a result, research gaps have been identified in the literature for several domains of application, thus expecting to inspire new and better forms of knowledge.