Deep Learning and Autoregressive Approach for Prediction of Time Series Data
Akhter Mohiuddin Rather · Journal of Autonomous Intelligence · 2021
A deep neural network based approach for prediction of non-stationary data has been proposed in this work. A new regression scheme has been used in the proposed model. Any non-stationary data can be used to test the efficiency of the proposed model, however in this work stock data has been used due to the fact that stock data has a property of being nonlinear or non-stationary in nature. Beside using proposed model, predictions were also obtained using some statistical models and artificial neural networks. Traditional statistical models did not yield any expected results; artificial neural networks resulted into high time complexity. Therefore, deep learning approach seemed to be the best method as of today in dealing with such problems wherein time complexity and excellent predictions are of concern.