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Method and system of prediction of time series data

A technology of time series and forecasting methods, applied in the field of data processing

Inactive Publication Date: 2017-08-29
XIANGTAN UNIV
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[0007] The present invention aims to solve the problems described above

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  • Method and system of prediction of time series data
  • Method and system of prediction of time series data
  • Method and system of prediction of time series data

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Embodiment Construction

[0067] In order to make the purpose, technical solutions and advantages of the embodiments of the present invention clearer, the technical solutions in the embodiments of the present invention will be clearly and completely described below in conjunction with the drawings in the embodiments of the present invention. Obviously, the described embodiments It is a part of embodiments of the present invention, but not all embodiments. Based on the embodiments of the present invention, all other embodiments obtained by persons of ordinary skill in the art without making creative efforts belong to the protection scope of the present invention. It should be noted that, in the case of no conflict, the embodiments in the present application and the features in the embodiments can be combined arbitrarily with each other.

[0068] The prediction method of the present invention combines the advantages of ARMA and LSTM through wavelet decomposition, and proposes a new prediction method. Fi...

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Abstract

The invention provides a method and system of the prediction of time series data. The method comprises the steps that wavelet decomposition is conducted on the sequence formed by t-1 moment data, n subsequences are obtained; stationary detection is conducted on n subsequences respectively; for non-stationary time series, an advance learning LSTM model is built using the t-1 moment data, and the values of t moment are predicted respectively, and forecasts of the non-stationary part are obtained by summing; similarly, for stationary sequences, ARMA models are respectively built and the values of t moment are predicted, and the forecasts on stationary part are obtained by summing; finally the prediction values of the non-stationary part and the stationary part at t moment are summed, to obtain the final forecast value. By the method and system of the prediction of time series data, by wavelet decomposition, the advantages of LSTM and ARMA are combined, in comparison with traditional methods, better effects are provided in dealing with non-stationary time series. In addition, by benefiting from the unique LSTM structure in the model, the forecasting and the generalization ability of the method is better, and the method is suitable for time series prediction in various fields.

Description

technical field [0001] The invention relates to data processing technology, in particular to a prediction method and system for time series data. Background technique [0002] The prediction of time series data involves all aspects of society and national development. Take economic data as an example. Economic data is a reflection of the economic situation of a country and a region, and a large part of it is the data collected at different time points of various economic indicators and production resources, which is a typical time series data. These data contain a wealth of information, such as the state of economic operation and future development trends. Therefore, it is very beneficial to study macroeconomic data, dig out the hidden laws, and make scientific predictions on future trends. It can not only guide a region or country to adjust or reform the economic system, but also has important reference value for enterprises to plan production and individuals to invest. ...

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Application Information

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IPC IPC(8): G06F17/14G06Q10/04
CPCG06F17/148G06Q10/04
Inventor 曾朝晖黄宏伟叶江
Owner XIANGTAN UNIV
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