Time Series Prediction Using Restricted Boltzmann Machines and Backpropagation
Rafael Hrasko, André G. C. Pacheco, Renato Antonio Krohling · Procedia Computer Science · 2015
Time series prediction appear in many real-world problems, e.g., financial market, signal processing, weather forecasting among others. The underlying models and time series data of those problems are generally complex in a way that reasonable accurate estimation cannot be easily achieved, thus requiring more advanced techniques. Statistical models are the classical approaches for tackling this problem. Many works extended different architectures of Artificial neural networks to work with time series prediction, such as Feedforward, Boltzmann Machines and Deep Belief Network. A Deep Belief Network based on hybridization between Gaussian-Bernoulli Restricted Boltzmann Machine and the Backpropagation algorithm is presented. The hybrid algorithm is tested on three time series databases showing promising results.