Operations Research, Systems Engineering and Industrial Engineering Commons^™

Learning Deep Time-Index Models For Time Series Forecasting, Jiale Gerald Woo, Chenghao Liu, Doyen Sahoo, Akshat Kumar, Steven Hoi

Research Collection School Of Computing and Information Systems

Deep learning has been actively applied to time series forecasting, leading to a deluge of new methods, belonging to the class of historicalvalue models. Yet, despite the attractive properties of time-index models, such as being able to model the continuous nature of underlying time series dynamics, little attention has been given to them. Indeed, while naive deep timeindex models are far more expressive than the manually predefined function representations of classical time-index models, they are inadequate for forecasting, being unable to generalize to unseen time steps due to the lack of inductive bias. In this paper, we propose DeepTime, a …