Context-aware Forecasting for Multivariate Stationary Time-series

Valentin Guiguet, Nicolas Baskiotis, Vincent Guigue, Patrick Gallinari

Abstract: The domain of time-series forecasting has been extensively studied because it is of fundamental importance in many real-life applications. Weather prediction, traffic flow forecasting or sales are compelling examples of sequential phenomena. Predictive models generally make use of the relations between past and future values. However, in the case of stationary time-series, observed values also drastically depend on a number of exogenous features that can be used to improve forecasting quality. In this work, we propose a change of paradigm which consists in learning such features in embeddings vectors within recurrent neural networks. We apply our framework to forecast smart cards tap-in logs in the Parisian subway network. Results show that context-embedded models perform quantitatively better in one-step ahead and multi-step ahead forecasting.

TL;DR: In order to forecast multivariate stationary time-series we learn embeddings containing contextual features within a RNN; we apply the framework on public transportation data