Amazon.com, Inc.
Artificial intelligence system combining state space models and neural networks for time series forecasting

Abstract:

A composite time series forecasting model comprising a neural network sub-model and one or more state space sub-models corresponding to individual time series is trained. During training, output of the neural network sub-model is used to determine parameters of the state space sub-models, and a loss function is computed using the values of the time series and probabilistic values generated as output by the state space sub-models. A trained version of the composite model is stored.