N-BEATS: Neural basis expansion analysis for interpretable time series forecasting

Boris N. Oreshkin, Dmitri Carpov, Nicolas Chapados, Yoshua Bengio

TL;DR: A novel deep interpretable architecture that achieves state of the art on three large scale univariate time series forecasting datasets

Abstract: 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 several well-known datasets, including M3, M4 and TOURISM competition datasets containing time series from diverse domains. We demonstrate state-of-the-art performance for two configurations of N-BEATS for all the datasets, 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 heterogeneous datasets 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 considerable loss in accuracy.

Keywords: time series forecasting, deep learning

Code: [ 19 community implementations](https://paperswithcode.com/paper/?openreview=r1ecqn4YwB)

Data: [M4](https://paperswithcode.com/dataset/m4), [The tourism forecasting competition](https://paperswithcode.com/dataset/the-tourism-forecasting-competition), [TimeHetNet](https://paperswithcode.com/dataset/timehetnet)

Community Implementations: [ 7 code implementations](https://www.catalyzex.com/paper/arxiv:1905.10437/code)