Multi-step Ahead Time Series Forecasting for Different Data Patterns Based on LSTM Recurrent Neural Network

Abstract

Time series prediction problems can play an important role in many areas, and multi-step ahead time series forecast, like river flow forecast, stock price forecast, could help people to make right decisions. Many predictive models do not work very well in multi-step ahead predictions. LSTM (Long Short-Term Memory) is an iterative structure in the hidden layer of the recurrent neural network which could capture the long-term dependency in time series. In this paper, we try to model different types of data patterns, use LSTM RNN for multi-step ahead prediction, and compare the prediction result with other traditional models.