Improving Neural Networks for Time Series Forecasting using Data Augmentation and AutoML

TL;DR

This paper introduces a data augmentation technique using statistical model forecasts to enhance neural network performance in time series forecasting, especially for intermediate length data, and combines it with AutoML for optimal architecture selection.

Contribution

It presents Augmented-Neural-Network, a simple data augmentation method that improves neural network accuracy on time series, and demonstrates its effectiveness with AutoML for architecture optimization.

Findings

Maximum forecast accuracy improvement of 24.29%.

Significant enhancement in neural network performance on COVID-19 data.

Effective combination of data augmentation and AutoML for time series.

Abstract

Statistical methods such as the Box-Jenkins method for time-series forecasting have been prominent since their development in 1970. Many researchers rely on such models as they can be efficiently estimated and also provide interpretability. However, advances in machine learning research indicate that neural networks can be powerful data modeling techniques, as they can give higher accuracy for a plethora of learning problems and datasets. In the past, they have been tried on time-series forecasting as well, but their overall results have not been significantly better than the statistical models especially for intermediate length times series data. Their modeling capacities are limited in cases where enough data may not be available to estimate the large number of parameters that these non-linear models require. This paper presents an easy to implement data augmentation method to significantly improve the performance of such networks. Our method, Augmented-Neural-Network, which involves using forecasts from statistical models, can help unlock the power of neural networks on intermediate length time-series and produces competitive results. It shows that data augmentation, when paired with Automated Machine Learning techniques such as Neural Architecture Search, can help to find the best neural architecture for a given time-series. Using the combination of these, demonstrates significant enhancement in the forecasting accuracy of three neural network-based models for a COVID-19 dataset, with a maximum improvement in forecasting accuracy by 21.41%, 24.29%, and 16.42%, respectively, over the neural networks that do not use augmented data.