Journal
BIG DATA
Volume 9, Issue 1, Pages 3-21Publisher
MARY ANN LIEBERT, INC
DOI: 10.1089/big.2020.0159
Keywords
big data; deep learning; time series forecasting
Funding
- Spanish Ministry of Science, Innovation and Universities [TIN2017-88209-C2-1-R]
- General Directorate of Scientific Research and Technological Development (DGRSDT, Algeria), under the PRFU project [C00 L07UN060120200003]
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Time series forecasting is a research field where deep neural networks play a significant role in solving big data problems. This work explores the application of deep learning methods in time series prediction, discussing the advantages and limitations of common architectures. Practical recommendations on parameter settings and framework selection are provided, along with a review of successful cases in various research fields and identification of research gaps.
Time series forecasting has become a very intensive field of research, which is even increasing in recent years. Deep neural networks have proved to be powerful and are achieving high accuracy in many application fields. For these reasons, they are one of the most widely used methods of machine learning to solve problems dealing with big data nowadays. In this work, the time series forecasting problem is initially formulated along with its mathematical fundamentals. Then, the most common deep learning architectures that are currently being successfully applied to predict time series are described, highlighting their advantages and limitations. Particular attention is given to feed forward networks, recurrent neural networks (including Elman, long-short term memory, gated recurrent units, and bidirectional networks), and convolutional neural networks. Practical aspects, such as the setting of values for hyper-parameters and the choice of the most suitable frameworks, for the successful application of deep learning to time series are also provided and discussed. Several fruitful research fields in which the architectures analyzed have obtained a good performance are reviewed. As a result, research gaps have been identified in the literature for several domains of application, thus expecting to inspire new and better forms of knowledge.
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