The DeepTCN paper is accepted in Neurocomputing

The DeepTCN paper is accepted in Neurocomputing.

Yitian Chen, Yanfei Kang, Yixiong Chen and Zizhuo Wang. (2020). Probabilistic Forecasting with Temporal Convolutional Neural Network. Neurocomputing 399C (2020) pp. 491-501.

[ Online | Working PaperSoftware]

We present a probabilistic forecasting framework based on convolutional neural network (CNN) for multiple related time series forecasting. The framework can be applied to estimate prob- ability density under both parametric and non-parametric settings. More specifically, stacked residual blocks based on dilated causal convolutional nets are constructed to capture the temporal dependencies of the series. Combined with representation learning, our approach is able to learn complex patterns such as seasonality, holiday effects within and across series, and to leverage those patterns for more accurate forecasts, especially when historical data is sparse or unavailable. Extensive empirical studies are performed on several real-world datasets, including datasets from, China’s largest online retailer. The results show that our framework compares favorably to the state-of-the-art in both point and probabilistic forecasting.

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