Prediction of Time Series Data Based on Transformer with Soft Dynamic Time Wrapping
K.C. Ho, Pei-Shu Huang, I‐Chen Wu, Feng-Jian Wang · 2020
It is a challenge to predict the long-term future data from time series data. This paper proposes to use a Transformer with soft dynamic time wrapping for early stopping criteria, called a soft-DTW Transformer. Our experiment in an open-source dataset HouseTwenty shows that the average prediction error rate with soft-DTW Transformer is 27.79%, greatly reduced from 45.70% for using SVR, a common time series method.