You're reading from Modern Time Series Forecasting with Python

Product type Book

Published in Nov 2022

Publisher Packt

ISBN-13 9781803246802

Pages 552 pages

Edition 1st Edition

Languages

Concepts

Data Science

Author (1):

Manu Joseph

Table of Contents (26) Chapters

Preface

1. Part 1 – Getting Familiar with Time Series

2. Chapter 1: Introducing Time Series

3. Chapter 2: Acquiring and Processing Time Series Data

4. Chapter 3: Analyzing and Visualizing Time Series Data

5. Chapter 4: Setting a Strong Baseline Forecast

6. Part 2 – Machine Learning for Time Series

7. Chapter 5: Time Series Forecasting as Regression

8. Chapter 6: Feature Engineering for Time Series Forecasting

9. Chapter 7: Target Transformations for Time Series Forecasting

10. Chapter 8: Forecasting Time Series with Machine Learning Models

11. Chapter 9: Ensembling and Stacking

12. Chapter 10: Global Forecasting Models

13. Part 3 – Deep Learning for Time Series

14. Chapter 11: Introduction to Deep Learning

15. Chapter 12: Building Blocks of Deep Learning for Time Series

16. Chapter 13: Common Modeling Patterns for Time Series

17. Chapter 14: Attention and Transformers for Time Series

18. Chapter 15: Strategies for Global Deep Learning Forecasting Models

19. Chapter 16: Specialized Deep Learning Architectures for Forecasting

20. Part 4 – Mechanics of Forecasting

21. Chapter 17: Multi-Step Forecasting

22. Chapter 18: Evaluating Forecasts – Forecast Metrics

23. Chapter 19: Evaluating Forecasts – Validation Strategies

24. Index

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Joint strategy

The previous two strategies consider the model to have a single output. This is the case with most ML models; we formulate the model to predict a single scalar value as the prediction after taking in an array of inputs: multiple input, single output (MISO). But there are some models, such as the DL models, which can be configured to give us multiple outputs. Therefore, the joint strategy, also called multiple input, multiple output (MIMO), aims to learn a single model that produces the entire forecasting horizon as an output:

Figure 17.4 – Joint strategy for multi-step forecasting

Let’s see how these regimes work.

Training regime

The joint strategy involves training a single multi-output model to forecast all the timesteps in the horizon at once. We can see in Figure 17.1 that we use the window function, , to draw a window from and train the model to predict . And during training, a loss function that measures the divergence...