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

BN Oreshkin, D Carpov, N Chapados… - arXiv preprint arXiv …, 2019 - arxiv.org
arXiv preprint arXiv:1905.10437, 2019arxiv.org
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 …
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.
arxiv.org