Time Series Forecasting With

Deep Learning: A Survey

rsta.royalsocietypublishing.org Bryan Lim1 and Stefan Zohren1
1 Department of Engineering Science, University of

Oxford, Oxford, UK
Research
Numerous deep learning architectures have been
Article submitted to journal developed to accommodate the diversity of time series
datasets across different domains. In this article, we
survey common encoder and decoder designs used
arXiv:2004.13408v2 [stat.ML] 27 Sep 2020

Subject Areas: in both one-step-ahead and multi-horizon time series

forecasting – describing how temporal information is
Deep learning, time series modelling
incorporated into predictions by each model. Next, we
highlight recent developments in hybrid deep learning
Keywords:
models, which combine well-studied statistical models
Deep neural networks, time series with neural network components to improve pure
forecasting, uncertainty estimation, methods in either category. Lastly, we outline some
hybrid models, interpretability, ways in which deep learning can also facilitate decision
counterfactual prediction support with time series data.

Author for correspondence:

1. Introduction
Bryan Lim Time series modelling has historically been a key area
of academic research – forming an integral part of
e-mail: blim@robots.ox.ac.uk
applications in topics such as climate modelling [1],
biological sciences [2] and medicine [3], as well as
commercial decision making in retail [4] and finance [5] to
name a few. While traditional methods have focused on
parametric models informed by domain expertise – such
as autoregressive (AR) [6], exponential smoothing [7, 8]
or structural time series models [9] – modern machine
learning methods provide a means to learn temporal
dynamics in a purely data-driven manner [10]. With
the increasing data availability and computing power in
recent times, machine learning has become a vital part of
the next generation of time series forecasting models.
Deep learning in particular has gained popularity
in recent times, inspired by notable achievements in
image classification [11], natural language processing
[12] and reinforcement learning [13]. By incorporating
bespoke architectural assumptions – or inductive biases
[14] – that reflect the nuances of underlying datasets,
deep neural networks are able to learn complex data
representations [15], which alleviates the need for manual
feature engineering and model design. The availability
of open-source backpropagation frameworks [16, 17] has
also simplified the network training, allowing for the
customisation for network components and loss functions.
© The Authors. Published by the Royal Society under the terms of the
Creative Commons Attribution License http://creativecommons.org/licenses/
by/4.0/, which permits unrestricted use, provided the original author and
source are credited.
 Given the diversity of time-series problems across various domains, numerous neural network 2
design choices have emerged. In this article, we summarise the common approaches to time
series prediction using deep neural networks. Firstly, we describe the state-of-the-art techniques

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available for common forecasting problems – such as multi-horizon forecasting and uncertainty
estimation. Secondly, we analyse the emergence of a new trend in hybrid models, which combine
both domain-specific quantitative models with deep learning components to improve forecasting
performance. Next, we outline two key approaches in which neural networks can be used to
facilitate decision support, specifically through methods in interpretability and counterfactual
prediction. Finally, we conclude with some promising future research directions in deep learning
for time series prediction – specifically in the form of continuous-time and hierarchical models.
While we endeavour to provide a comprehensive overview of modern methods in deep learning,
we note that our survey is by no means all-encompassing. Indeed, a rich body of literature exists for
automated approaches to time series forecasting - including automatic parametric model selection
[18], and traditional machine learning methods such as kernel regression [19] and support vector
regression [20]. In addition, Gaussian processes [21] have been extensively used for time series
prediction – with recent extensions including deep Gaussian processes [22], and parallels in deep
learning via neural processes [23]. Furthermore, older models of neural networks have been used
historically in time series applications, as seen in [24] and [25].

2. Deep Learning Architectures for Time Series Forecasting

Time series forecasting models predict future values of a target yi,t for a given entity i at time t.
Each entity represents a logical grouping of temporal information – such as measurements from
individual weather stations in climatology, or vital signs from different patients in medicine – and
can be observed at the same time. In the simplest case, one-step-ahead forecasting models take the
form:
ŷi,t+1 = f (yi,t−k:t , xi,t−k:t , si ), (2.1)

where ŷi,t+1 is the model forecast, yi,t−k:t = {yi,t−k , . . . , yi,t }, xi,t−k:t = {xi,t−k , . . . , xi,t } are
observations of the target and exogenous inputs respectively over a look-back window k, si is
static metadata associated with the entity (e.g. sensor location), and f (.) is the prediction function
learnt by the model. While we focus on univariate forecasting in this survey (i.e. 1-D targets), we
note that the same components can be extended to multivariate models without loss of generality
[26, 27, 28, 29, 30]. For notational simplicity, we omit the entity index i in subsequent sections
unless explicitly required.

(a) Basic Building Blocks

Deep neural networks learn predictive relationships by using a series of non-linear layers to
construct intermediate feature representations [15]. In time series settings, this can be viewed as
encoding relevant historical information into a latent variable zt , with the final forecast produced
using zt alone:

f (yt−k:t , xt−k:t , s) = gdec (zt ), (2.2)

zt = genc (yt−k:t , xt−k:t , s), (2.3)

where genc (.), gdec (.) are encoder and decoder functions respectively, and recalling that that
subscript i from Equation (2.1) been removed to simplify notation (e.g. yi,t replaced by yt ). These
encoders and decoders hence form the basic building blocks of deep learning architectures, with
the choice of network determining the types of relationships that can be learnt by our model. In
this section, we examine modern design choices for encoders, as overviewed in Figure 1, and their
relationship to traditional temporal models. In addition, we explore common network outputs and
loss functions used in time series forecasting applications.
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(a) CNN Model. (b) RNN Model. (c) Attention-based Model.

Figure 1: Incorporating temporal information using different encoder architectures.

(i) Convolutional Neural Networks

Traditionally designed for image datasets, convolutional neural networks (CNNs) extract local
relationships that are invariant across spatial dimensions [11, 31]. To adapt CNNs to time series
datasets, researchers utilise multiple layers of causal convolutions [32, 33, 34] – i.e. convolutional
filters designed to ensure only past information is used for forecasting. For an intermediate feature
at hidden layer l, each causal convolutional filter takes the form below:
 
hl+1
t = A (W ∗ h) (l, t) , (2.4)

k
W (l, τ )hlt−τ ,
X
(W ∗ h) (l, t) = (2.5)
τ =0

where hlt ∈ RHin is an intermediate state at layer l at time t, ∗ is the convolution operator, W (l, τ ) ∈
RHout ×Hin is a fixed filter weight at layer l, and A(.) is an activation function, such as a sigmoid
function, representing any architecture-specific non-linear processing. For CNNs that use a total of
L convolutional layers, we note that the encoder output is then zt = hL t .
Considering the 1-D case, we can see that Equation (2.5) bears a strong resemblance to finite
impulse response (FIR) filters in digital signal processing [35]. This leads to two key implications
for temporal relationships learnt by CNNs. Firstly, in line with the spatial invariance assumptions
for standard CNNs, temporal CNNs assume that relationships are time-invariant – using the same
set of filter weights at each time step and across all time. In addition, CNNs are only able to use
inputs within its defined lookback window, or receptive field, to make forecasts. As such, the
receptive field size k needs to be tuned carefully to ensure that the model can make use of all
relevant historical information. It is worth noting that a single causal CNN layer with a linear
activation function is equivalent to an auto-regressive (AR) model.

Dilated Convolutions Using standard convolutional layers can be computationally challenging

where long-term dependencies are significant, as the number of parameters scales directly with the
size of the receptive field. To alleviate this, modern architectures frequently make use of dilated
covolutional layers [32, 33], which extend Equation (2.5) as below:

bk/dl c
W (l, τ )hlt−dl τ ,
X
(W ∗ h) (l, t, dl ) = (2.6)
τ =0

where b.c is the floor operator and dl is a layer-specific dilation rate. Dilated convolutions can hence
be interpreted as convolutions of a down-sampled version of the lower layer features – reducing
resolution to incorporate information from the distant past. As such, by increasing the dilation rate
with each layer, dilated convolutions can gradually aggregate information at different time blocks,
allowing for more history to be used in an efficient manner. With the WaveNet architecture of [32]
for instance, dilation rates are increased in powers of 2 with adjacent time blocks aggregated in
each layer – allowing for 2l time steps to be used at layer l as shown in Figure 1a.
(ii) Recurrent Neural Networks 4
Recurrent neural networks (RNNs) have historically been used in sequence modelling [31],

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with strong results on a variety of natural language processing tasks [36]. Given the natural
interpretation of time series data as sequences of inputs and targets, many RNN-based architectures
have been developed for temporal forecasting applications [37, 38, 39, 40]. At its core, RNN cells
contain an internal memory state which acts as a compact summary of past information. The
memory state is recursively updated with new observations at each time step as shown in Figure
1b, i.e.:

zt = ν (zt−1 , yt , xt , s) , (2.7)

Where zt ∈ RH here is the hidden internal state of the RNN, and ν(.) is the learnt memory update
function. For instance, the Elman RNN [41], one of the simplest RNN variants, would take the
form below:

yt+1 = γy (Wy zt + by ), (2.8)

zt = γz (Wz1 zt−1 + Wz2 yt + Wz3 xt + Wz4 s + bz ), (2.9)

Where W. , b. are the linear weights and biases of the network respectively, and γy (.), γz (.) are
network activation functions. Note that RNNs do not require the explicit specification of a lookback
window as per the CNN case. From a signal processing perspective, the main recurrent layer – i.e.
Equation (2.9) – thus resembles a non-linear version of infinite impulse response (IIR) filters.

Long Short-term Memory Due to the infinite lookback window, older variants of RNNs can
suffer from limitations in learning long-range dependencies in the data [42, 43] – due to issues with
exploding and vanishing gradients [31]. Intuitively, this can be seen as a form of resonance in the
memory state. Long Short-Term Memory networks (LSTMs) [44] were hence developed to address
these limitations, by improving gradient flow within the network. This is achieved through the use
of a cell state ct which stores long-term information, modulated through a series of gates as below:

Input gate: it = σ(Wi1 zt−1 + Wi2 yt + Wi3 xt + Wi4 s + bi ), (2.10)

Output gate: ot = σ(Wo1 zt−1 + Wo2 yt + Wo3 xt + Wo4 s + bo ), (2.11)
Forget gate: ft = σ(Wf1 zt−1 + Wf2 yt + Wf3 xt + Wf4 s + bf ), (2.12)

where zt−1 is the hidden state of the LSTM, and σ(.) is the sigmoid activation function. The gates
modify the hidden and cell states of the LSTM as below:

Hidden state: zt = ot tanh(ct ), (2.13)

Cell state: ct = ft ct−1
+ it tanh(Wc1 zt−1 + Wc2 yt + Wc3 xt + Wc4 s + bc ), (2.14)

Where is the element-wise (Hadamard) product, and tanh(.) is the tanh activation function.

Relationship to Bayesian Filtering As examined in [39], Bayesian filters [45] and RNNs are both
similar in their maintenance of a hidden state which is recursively updated over time. For Bayesian
filters, such as the Kalman filter [46], inference is performed by updating the sufficient statistics
of the latent state – using a series of state transition and error correction steps. As the Bayesian
filtering steps use deterministic equations to modify sufficient statistics, the RNN can be viewed
as a simultaneous approximation of both steps – with the memory vector containing all relevant
information required for prediction.
(iii) Attention Mechanisms 5
The development of attention mechanisms [47, 48] has also lead to improvements in long-term

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dependency learning – with Transformer architectures achieving state-of-the-art performance in
multiple natural language processing applications [12, 49, 50]. Attention layers aggregate temporal
features using dynamically generated weights (see Figure 1c), allowing the network to directly
focus on significant time steps in the past – even if they are very far back in the lookback window.
Conceptually, attention is a mechanism for a key-value lookup based on a given query [51], taking
the form below:
k
X
ht = α(κt , qτ )vt−τ , (2.15)
τ =0

Where the key κt , query qτ and value vt−τ are intermediate features produced at different time
steps by lower levels of the network. Furthermore, α(κt , qτ ) ∈ [0, 1] is the attention weight for
t − τ generated at time t, and ht is the context vector output of the attention layer. Note that
multiple attention layers can also be used together as per the CNN case, with the output from the
final layer forming the encoded latent variable zt .
Recent work has also demonstrated the benefits of using attention mechanisms in time series
forecasting applications, with improved performance over comparable recurrent networks [52,
53, 54]. For instance, [52] use attention to aggregate features extracted by RNN encoders, with
attention weights produced as below:

α(t) = softmax(ηt ), (2.16)

ηt = Wη1 tanh(Wη2 κt−1 + Wη3 qτ + bη ), (2.17)

where α(t) = [α(t, 0), . . . α(t, k)] is a vector of attention weights, κt−1 , qt are outputs from LSTM
encoders used for feature extraction, and softmax(.) is the softmax activation function. More
recently, Transformer architectures have also been considered in [53, 54], which apply scalar-dot
product self-attention [49] to features extracted within the lookback window. From a time series
modelling perspective, attention provides two key benefits. Firstly, networks with attention are
able to directly attend to any significant events that occur. In retail forecasting applications, for
example, this includes holiday or promotional periods which can have a positive effect on sales.
Secondly, as shown in [54], attention-based networks can also learn regime-specific temporal
dynamics – by using distinct attention weight patterns for each regime.

(iv) Outputs and Loss Functions

Given the flexibility of neural networks, deep neural networks have been used to model both
discrete [55] and continuous [37, 56] targets – by customising of decoder and output layer of the
neural network to match the desired target type. In one-step-ahead prediction problems, this
can be as simple as combining a linear transformation of encoder outputs (i.e. Equation (2.2))
together with an appropriate output activation for the target. Regardless of the form of the target,
predictions can be further divided into two different categories – point estimates and probabilistic
forecasts.

Point Estimates A common approach to forecasting is to determine the expected value of a

future target. This essentially involves reformulating the problem to a classification task for
discrete outputs (e.g. forecasting future events), and regression task for continuous outputs – using
the encoders described above. For the binary classification case, the final layer of the decoder then
features a linear layer with a sigmoid activation function – allowing the network to predict the
probability of event occurrence at a given time step. For one-step-ahead forecasts of binary and
continuous targets, networks are trained using binary cross-entropy and mean square error loss
functions respectively: 6
T
1 X
Lclassif ication = − yt log(ŷt ) + (1 − yt ) log(1 − ŷt ) (2.18)

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T
t=1
T
1 X
Lregression = (yt − ŷt )2 (2.19)
T
t=1

While the loss functions above are the most common across applications, we note that the
flexibility of neural networks also allows for more complex losses to be adopted - e.g. losses for
quantile regression [56] and multinomial classification [32].

Probabilistic Outputs While point estimates are crucial to predicting the future value of a target,
understanding the uncertainty of a model’s forecast can be useful for decision makers in different
domains. When forecast uncertainties are wide, for instance, model users can exercise more caution
when incorporating predictions into their decision making, or alternatively rely on other sources
of information. In some applications, such as financial risk management, having access to the full
predictive distribution will allow decision makers to optimise their actions in the presence of rare
events – e.g. allowing risk managers to insulate portfolios against market crashes.
A common way to model uncertainties is to use deep neural networks to generate parameters
of known distributions [27, 37, 38]. For example, Gaussian distributions are typically used for
forecasting problems with continuous targets, with the networks outputting means and variance
parameters for the predictive distributions at each step as below:

yt+τ ∼ N (µ(t, τ ), ζ(t, τ )2 ), (2.20)

µ(t, τ ) = Wµ hL
t + bµ , (2.21)

ζ(t, τ ) = softplus(WΣ hL
t + bΣ ), (2.22)

where hLt is the final layer of the network, and softplus(.) is the softplus activation function to
ensure that standard deviations take only positive values.

(b) Multi-horizon Forecasting Models

In many applications, it is often beneficial to have access to predictive estimates at multiple points
in the future – allowing decision makers to visualise trends over a future horizon, and optimise
their actions across the entire path. From a statistical perspective, multi-horizon forecasting can be
viewed as a slight modification of one-step-ahead prediction problem (i.e. Equation (2.1)) as below:

ŷt+τ = f (yt−k:t , xt−k:t , ut−k:t+τ , s, τ ), (2.23)

where τ ∈ {1, . . . , τmax } is a discrete forecast horizon, ut are known future inputs (e.g. date
information, such as the day-of-week or month) across the entire horizon, and xt are inputs
that can only be observed historically. In line with traditional econometric approaches [57, 58],
deep learning architectures for multi-horizon forecasting can be divided into iterative and direct
methods – as shown in Figure 2 and described in detail below.

(i) Iterative Methods

Iterative approaches to multi-horizon forecasting typically make use of autoregressive deep
learning architectures [37, 39, 40, 53] – producing multi-horizon forecasts by recursively feeding
samples of the target into future time steps (see Figure 2a). By repeating the procedure to generate
multiple trajectories, forecasts are then produced using the sampling distributions for target values
at each step. For instance, predictive means can be obtained using the Monte Carlo estimate
(j) (j)
ŷt+τ = Jj=1 ỹt+τ /J, where ỹt+τ is a sample taken based on the model of Equation (2.20). As
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autoregressive models are trained in the exact same fashion as one-step-ahead prediction models
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(a) Iterative Methods (b) Direct Methods

Figure 2: Main types of multi-horizon forecasting models. Colours used to distinguish between
model weights – with iterative models using a common model across the entire horizon and direct
methods taking a sequence-to-sequence approach.

(i.e. via backpropagation through time), the iterative approach allows for the easy generalisation
of standard models to multi-step forecasting. However, as a small amount of error is produced
at each time step, the recursive structure of iterative methods can potentially lead to large error
accumulations over longer forecasting horizons. In addition, iterative methods assume that all
inputs but the target are known at run-time – requiring only samples of the target to be fed into
future time steps. This can be a limitation in many practical scenarios where observed inputs exist,
motivating the need for more flexible methods.

(ii) Direct Methods

Direct methods alleviate the issues with iterative methods by producing forecasts directly using all
available inputs. They typically make use of sequence-to-sequence architectures [52, 54, 56], using
an encoder to summarise past information (i.e. targets, observed inputs and a priori known inputs),
and a decoder to combine them with known future inputs – as depicted in Figure 2b. As described
in [59], alternative approach is to use simpler models to directly produce a fixed-length vector
matching the desired forecast horizon. This, however, does require the specification of a maximum
forecast horizon (i.e. τmax ), with predictions made only at the predefined discrete intervals.

3. Incorporating Domain Knowledge with Hybrid Models

Despite its popularity, the efficacy of machine learning for time series prediction has historically
been questioned – as evidenced by forecasting competitions such as the M-competitions [60]. Prior
to the M4 competition of 2018 [61], the prevailing wisdom was that sophisticated methods do not
produce more accurate forecasts, and simple models with ensembling had a tendency to do better
[59, 62, 63]. Two key reasons have been identified to explain the underperformance of machine
learning methods. Firstly, the flexibility of machine learning methods can be a double-edged sword
– making them prone to overfitting [59]. Hence, simpler models may potentially do better in low
data regimes, which are particularly common in forecasting problems with a small number of
historical observations (e.g. quarterly macroeconomic forecasts). Secondly, similar to stationarity
requirements of statistical models, machine learning models can be sensitive to how inputs are
pre-processed [26, 37, 59], which ensure that data distributions at training and test time are similar.
A recent trend in deep learning has been in developing hybrid models which address these
limitations, demonstrating improved performance over pure statistical or machine learning models
in a variety of applications [38, 64, 65, 66]. Hybrid methods combine well-studied quantitative
time series models together with deep learning – using deep neural networks to generate model
parameters at each time step. On the one hand, hybrid models allow domain experts to inform
neural network training using prior information – reducing the hypothesis space of the network
and improving generalisation. This is especially useful for small datasets [38], where there is a
greater risk of overfitting for deep learning models. Furthermore, hybrid models allow for the
separation of stationary and non-stationary components, and avoid the need for custom input
pre-processing. An example of this is the Exponential Smoothing RNN (ES-RNN) [64], winner
of the M4 competition, which uses exponential smoothing to capture non-stationary trends and
learns additional effects with the RNN. In general, hybrid models utilise deep neural networks 8
in two manners: a) to encode time-varying parameters for non-probabilistic parametric models
[64, 65, 67], and b) to produce parameters of distributions used by probabilistic models [38, 40, 66].

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(a) Non-probabilistic Hybrid Models
With parametric time series models, forecasting equations are typically defined analytically and
provide point forecasts for future targets. Non-probabilistic hybrid models hence modify these
forecasting equations to combine statistical and deep learning components. The ES-RNN for
example, utilises the update equations of the Holt-Winters exponential smoothing model [8] –
combining multiplicative level and seasonality components with deep learning outputs as below:

ŷi,t+τ = exp(WES hL
i,t+τ + bES ) × li,t × γi,t+τ , (3.1)
(i) (i)
li,t = β1 yi,t /γi,t + (1 − β1 )li,t−1 , (3.2)
(i) (i)
γi,t = β2 yi,t /li,t + (1 − β2 )γi,t−κ , (3.3)

where hL
i,t+τ is the final layer of the network for the τ th-step-ahead forecast, li,t is a level
(i) (i)
component, γi,t is a seasonality component with period κ, and β1 , β2 are entity-specific static
coefficients. From the above equations, we can see that the exponential smoothing components
(li,t , γi,t ) handle the broader (e.g. exponential) trends within the datasets, reducing the need for
additional input scaling.

(b) Probabilistic Hybrid Models

Probabilistic hybrid models can also be used in applications where distribution modelling is
important – utilising probabilistic generative models for temporal dynamics such as Gaussian
processes [40] and linear state space models [38]. Rather than modifying forecasting equations,
probabilistic hybrid models use neural networks to produce parameters for predictive distributions
at each step. For instance, Deep State Space Models [38] encode time-varying parameters for linear
state space models as below – performing inference via the Kalman filtering equations [46]:

yt = a(hL T L
i,t+τ ) lt + φ(hi,t+τ )t , (3.4)

lt = F (hL
i,t+τ )lt−1 + q(hL L
i,t+τ ) + Σ(hi,t+τ ) Σt , (3.5)

where lt is the hidden latent state, a(.), F (.), q(.) are linear transformations of hL
i,t+τ ,
φ(.), Σ(.)
are linear transformations with softmax activations, t ∼ N (0, 1) is a univariate residual and
Σt ∼ N (0, I) is a multivariate normal random variable.

4. Facilitating Decision Support Using Deep Neural Networks

Although model builders are mainly concerned with the accuracy of their forecasts, end-users
typically use predictions to guide their future actions. For instance, doctors can make use of clinical
forecasts (e.g. probabilities of disease onset and mortality) to help them prioritise tests to order,
formulate a diagnosis and determine a course of treatment. As such, while time series forecasting is
a crucial preliminary step, a better understanding of both temporal dynamics and the motivations
behind a model’s forecast can help users further optimise their actions. In this section, we explore
two directions in which neural networks have been extended to facilitate decision support with
time series data – focusing on methods in interpretability and causal inference.

(a) Interpretability With Time Series Data

With the deployment of neural networks in mission-critical applications [68], there is a increasing
need to understand both how and why a model makes a certain prediction. Moreover, end-users can
have little prior knowledge with regards to the relationships present in their data, with datasets 9
growing in size and complexity in recent times. Given the black-box nature of standard neural
network architectures, a new body of research has emerged in methods for interpreting deep

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learning models. We present a summary below – referring the reader to dedicated surveys for
more in-depth analyses [69, 70].

Techniques for Post-hoc Interpretability Post-hoc interpretable models are developed to

interpret trained networks, and helping to identify important features or examples without
modifying the original weights. Methods can mainly be divided into two main categories. Firstly,
one possible approach is to apply simpler interpretable surrogate models between the inputs and
outputs of the neural network, and rely on the approximate model to provide explanations. For
instance, Local Interpretable Model-Agnostic Explanations (LIME) [71] identify relevant features
by fitting instance-specific linear models to perturbations of the input, with the linear coefficients
providing a measure of importance. Shapley additive explanations (SHAP) [72] provide another
surrogate approach, which utilises Shapley values from cooperative game theory to identify
important features across the dataset. Next, gradient-based method – such as saliency maps [73, 74]
and influence functions [75] – have been proposed, which analyse network gradients to determine
which input features have the greatest impact on loss functions. While post-hoc interpretability
methods can help with feature attributions, they typically ignore any sequential dependencies
between inputs – making it difficult to apply them to complex time series datasets.

Inherent Interpretability with Attention Weights An alternative approach is to directly design

architectures with explainable components, typically in the form of strategically placed attention
layers. As attention weights are produced as outputs from a softmax layer, the weights are
constrained to sum to 1, i.e. kτ=0 α(t, τ ) = 1. For time series models, the outputs of Equation (2.15)
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can hence also be interpreted as a weighted average over temporal features, using the weights
supplied by the attention layer at each step. An analysis of attention weights can then be used to
understand the relative importance of features at each time step. Instance-wise interpretability
studies have been performed in [53, 55, 76], where the authors used specific examples to show how
the magnitudes of α(t, τ ) can indicate which time points were most significant for predictions. By
analysing distributions of attention vectors across time, [54] also shows how attention mechanisms
can be used to identify persistent temporal relationships – such as seasonal patterns – in the dataset.

(b) Counterfactual Predictions & Causal Inference Over Time

In addition to understanding the relationships learnt by the networks, deep learning can also help
to facilitate decision support by producing predictions outside of their observational datasets, or
counterfactual forecasts. Counterfactual predictions are particularly useful for scenario analysis
applications – allowing users to evaluate how different sets of actions can impact target trajectories.
This can be useful both from a historical angle, i.e. determining what would have happened if a
different set of circumstances had occurred, and from a forecasting perspective, i.e. determining
which actions to take to optimise future outcomes.
While a large class of deep learning methods exists for estimating causal effects in static
settings [77, 78, 79], the key challenge in time series datasets is the presence of time-dependent
confounding effects. This arises due to circular dependencies when actions that can affect the
target are also conditional on observations of the target. Without any adjusting for time-dependent
confounders, straightforward estimations techniques can results in biased results, as shown in [80].
Recently, several methods have emerged to train deep neural networks while adjusting for time-
dependent confounding, based on extensions of statistical techniques and the design of new loss
functions. With statistical methods, [81] extends the inverse-probability-of-treatment-weighting
(IPTW) approach of marginal structural models in epidemiology – using one set of networks to
estimate treatment application probabilities, and a sequence-to-sequence model to learn unbiased
predictions. Another approach in [82] extends the G-computation framework, jointly modelling
distributions of the target and actions using deep learning. In addition, new loss functions have 10
been proposed in [83], which adopts domain adversarial training to learn balanced representations
of patient history.

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5. Conclusions and Future Directions
With the growth in data availability and computing power in recent times, deep neural networks
architectures have achieved much success in forecasting problems across multiple domains. In
this article, we survey the main architectures used for time series forecasting – highlighting the
key building blocks used in neural network design. We examine how they incorporate temporal
information for one-step-ahead predictions, and describe how they can be extended for use in
multi-horizon forecasting. Furthermore, we outline the recent trend of hybrid deep learning models,
which combine statistical and deep learning components to outperform pure methods in either
category. Finally, we summarise two ways in which deep learning can be extended to improve
decision support over time, focusing on methods in interpretability and counterfactual prediction.
Although a large number of deep learning models have been developed for time series
forecasting, some limitations still exist. Firstly, deep neural networks typically require time series to
be discretised at regular intervals, making it difficult to forecast datasets where observations can be
missing or arrive at random intervals. While some preliminary research on continuous-time models
has been done via Neural Ordinary Differential Equations [84], additional work needs to be done
to extend this work for datasets with complex inputs (e.g. static variables) and to benchmark them
against existing models. In addition, as mentioned in [85], time series often have a hierarchical
structure with logical groupings between trajectories – e.g. in retail forecasting, where product
sales in the same geography can be affected by common trends. As such, the development of
architectures which explicit account for such hierarchies could be an interesting research direction,
and potentially improve forecasting performance over existing univariate or multivariate models.

Competing Interests. The author(s) declare that they have no competing interests.

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