EMDFormer model for time series forecasting

Abstract

The adjusted precision of economic values is essential in the global economy. In recent years, researchers have increased their interest in making accurate predictions in this type of time series; one of the reasons is that the characteristics of this type of time series makes predicting a complicated task due to its non-linear nature. The evolution of artificial neural network models enables us to research the suitability of models generated for other purposes, applying their potential to time series prediction with promising results. Specifically, in this field, the application of transformer models is assuming an innovative approach with great results. To improve the performance of this type of networks, in this work, the empirical model decomposition (EMD) methodology was used as data preprocessing for prediction with a transformer type network. The results confirmed a better performance of this approach compared to networks widely used in this field, the bidirectional long short term memory (BiLSTM), and long short term memory (LSTM) networks using and without EMD preprocessing, as well as the comparison of a Transformer network without applying EMD to the data, with a lower error in all the error metrics used: The root mean square error (RMSE), the root mean square error (MSE), the mean absolute percentage error (MAPE), and the R-square (R2). Finding a model that provides results that improve the literature allows for a greater adjustment in the predictions with minimal preprocessing.

Keywords

• time series forecasting
• financial forecasting
• recurrent neural network
• lstm bilstm
• transformer
• emd