A comparative study of Neural Network Forecasting models on the M4 competition data

Sammanfattning: The development of machine learning research has provided statistical innovations and further developments within the field of time series analysis. This study seeks to investigate two different approaches on artificial neural network models based on different learning techniques, and answering how well the neural network approach compares with a basic autoregressive approach, as well as how the artificial neural network models compare to each other. The models were compared and analyzed in regards to the univariate forecast accuracy on 20 randomly drawn time series from two different time frequencies from the M4 competition dataset. Forecasting was made dependent on one time lag (t-1) and forecasted three and six steps ahead respectively. The artificial neural network models outperformed the baseline Autoregressive model, showing notably lower mean average percentage error overall. The Multilayered perceptron models performed better than the Long short-term memory model overall, whereas the Long short-term memory model showed improvement on longer prediction time dimensions. As the training were done univariately  on a limited set of time steps, it is believed that the one layered-approach gave a good enough approximation on the data, whereas the added layer couldn’t fully utilize its strengths of processing power. Likewise, the Long short-term memory model couldn’t fully demonstrate the advantagements of recurrent learning. Using the same dataset, further studies could be made with another approach to data processing. Implementing an unsupervised approach of clustering the data before analysis, the same models could be tested with multivariate analysis on models trained on multiple time series simultaneously.