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Open Access

A Deep-Learning Prediction Model for Imbalanced Time Series Data Forecasting

College of Computer Science and Technology, Zhejiang University of Technology, Hangzhou 310023, China
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Abstract

Time series forecasting has attracted wide attention in recent decades. However, some time series are imbalanced and show different patterns between special and normal periods, leading to the prediction accuracy degradation of special periods. In this paper, we aim to develop a unified model to alleviate the imbalance and thus improving the prediction accuracy for special periods. This task is challenging because of two reasons: (1) the temporal dependency of series, and (2) the tradeoff between mining similar patterns and distinguishing different distributions between different periods. To tackle these issues, we propose a self-attention-based time-varying prediction model with a two-stage training strategy. First, we use an encoder-“decoder module with the multi-head self-attention mechanism to extract common patterns of time series. Then, we propose a time-varying optimization module to optimize the results of special periods and eliminate the imbalance. Moreover, we propose reverse distance attention in place of traditional dot attention to highlight the importance of similar historical values to forecast results. Finally, extensive experiments show that our model performs better than other baselines in terms of mean absolute error and mean absolute percentage error.

Keywords

deep learningtime series forecastingimbalanced dataprediction model

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Big Data Mining and Analytics
Volume 4 Issue 4,
December 2021
Pages 266-278
DOI: 10.26599/BDMA.2021.9020011
Cite this article:
Hou C, Wu J, Cao B, et al. A Deep-Learning Prediction Model for Imbalanced Time Series Data Forecasting. Big Data Mining and Analytics, 2021, 4(4): 266-278. https://doi.org/10.26599/BDMA.2021.9020011

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Received: 21 May 2021
Accepted: 10 June 2021
Published: 26 August 2021
© The author(s) 2021

The articles published in this open access journal are distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/).
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