Predictive Error Compensating Wavelet Neural Network Model for Multivariable Time Series Prediction

Abstract

Multivariable machine learning (ML) models are increasingly used for time series predictions. However, avoiding the overfitting and underfitting in ML-based time series prediction requires special consideration depending on the size and characteristics of the available training dataset. Predictive error compensating wavelet neural network (PEC-WNN) improves the time series prediction accuracy by enhancing the orthogonal features within a data fusion scheme. In this study, time series prediction performance of the PEC-WNNs have been evaluated on two different problems in comparison to conventional machine learning methods including the long short-term memory (LSTM) network. The results have shown that PECNET provides significantly more accurate predictions. RMSPE error is reduced by more than 60% with respect to other compared ML methods for Lorenz Attractor and wind speed prediction problems.