Royal Bank of Canada
SYSTEM AND METHOD FOR NEURAL TIME SERIES PREPROCESSING

Abstract:

Systems and methods for neural time series preprocessing and forecasting, dividing time series data to generate chunks of short time series, inputting each of the short time series to a data preprocessing neural network that includes differencing to transform non-stationary data to stationary data and to filter noise, generating and outputting, from the data preprocessing neural network, processed time series data, and inputting the processed time series data to a forecasting neural network. Parameters of the data preprocessing neural network and parameters of the forecasting neural network are learned end-to-end.