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I have forecast dataset containing multiple multivariate time series that are not independent from each other. A state in one of the the series in time "t" can influence the state in another in time "t+n".

I was initially thinking in doing a LSTM model for each time series, but I ran in the problem of how to make a LSTM speak with another, is that possible? How could I do that?

I also thought in transforming the multiple series in a single one, but the goal is to make a forecast of the class of each series and I don't think this way I could have the classification of each one as an output, right?

Are there any other solutions? Could I make a CNN-LSTM work for something like this?

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  • $\begingroup$ There certaintly are fancier methods, but a vector autoregression (VAR) seems like a reasonable starting point. $\endgroup$ Commented Apr 6, 2022 at 8:39

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For time series classification tasks it's usual to build one model trained on all the samples in your training set, rather than a separate model for each time series. The great multivariate time series classification bake off paper provides a summary and comparison of the latest multivariate classification algorithms, including some CNN (InceptionTime, ResNet, both available in the sktime-dl python package) and CNN/LSTM (TapNet) ones.

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