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

Published: 20 Dec 2019, Last Modified: 03 Apr 2024ICLR 2020 Conference Blind SubmissionReaders: Everyone
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: [![Papers with Code](/images/pwc_icon.svg) 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: [![CatalyzeX](/images/catalyzex_icon.svg) 7 code implementations](https://www.catalyzex.com/paper/arxiv:1905.10437/code)
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