Time series forecasting using transformer neural network
Vaibhav Bhogade, B. Nithya
Abstract
Time series forecasting is a vital component of data science, giving essential insights that help decision-makers to predict future trends across a number of sectors. This paper focuses on projecting complicated stock market price dynamics, weather data variations, and hourly traffic occupancy rates. The Informer-Based Time Series Forecasting (IBTSF) model, which employs a transformer-based architecture to capture long-term relationships and give probabilistic predictions, is proposed.This model is assessed against Long Short-Term Memory (LSTM), Temporal Convolutional Network (TCN) and Gated Recurrent Unit (GRU) model to benchmark its performance. Simulation findings demonstrate that the IBTSF model considerably outperforms other models across all datasets. For traffic data, the IBTSF model achieves a Mean Squared Error (MSE) of 10.1 and a Mean Absolute Scaled Error (MASE) of 1.69, compared to other model's larger mistakes. In stock data forecasting, the IBTSF model reports an MSE of 8.04 and a MASE of 1.53, again outperforming other models. Similarly, using meteorological data, the IBTSF model obtains an MSE of 86.12 and a MASE of 0.7, whereas other models fall short. These results underline the IBTSF model's resilience and accuracy in capturing subtle patterns and relationships within time series data, giving precise insights that benefit decision-making processes.