Smoothing and stationarity enforcement framework for deep learning time-series forecasting

Neural Comput Appl. 2021;33(20):14021-14035. doi: 10.1007/s00521-021-06043-1. Epub 2021 May 5.


Time-series analysis and forecasting problems are generally considered as some of the most challenging and complicated problems in data mining. In this work, we propose a new complete framework for enhancing deep learning time-series models, which is based on a data preprocessing methodology. The proposed framework focuses on conducting a sequence of transformations on the original low-quality time-series data for generating high-quality time-series data, "suitable" for efficiently training and fitting a deep learning model. These transformations are performed in two successive stages: The first stage is based on the smoothing technique for the development of a new de-noised version of the original series in which every value contains dynamic knowledge of the all previous values. The second stage of transformations is performed on the smoothed series and it is based on differencing the series in order to be stationary and be considerably easier fitted and analyzed by a deep learning model. A number of experiments were performed utilizing time-series datasets from the cryptocurrency market, energy sector and financial stock market application domains on both regression and classification problems. The comprehensive numerical experiments and statistical analysis provide empirical evidence that the proposed framework considerably improves the forecasting performance of a deep learning model.

Keywords: Deep Learning; Forecasting; Stationarity; Time-series.