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I have two (or more in principle) 1xN time series, and I would like to train a NN to predict the next value of both. I can arrange them as a 2xN matrix and feed a window from this matrix as input to the NN, but I'm not sure how to structure the NN itself.

I have made a NN with convolutions that can do a pretty decent job with a single series, but I'd like to exploit cross-series correlations. What topology works to let the NN notice correlations between the time series?

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  • $\begingroup$ CNNs handle 2D out of the box. In fact that is their biggest use case (images). Why do you think you have to use something fancier? $\endgroup$
    – kbrose
    Commented May 29, 2018 at 13:46
  • $\begingroup$ What is the relationship between the two time series? If there is no relation, what is the reason for combining them as input? $\endgroup$
    – Snympi
    Commented Nov 22, 2018 at 15:13

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It depends a little on what kind of correlations you're looking for. Are you expecting a correlation that is present at each time step/window, or a different level of correlation per time step/window? Are you doing a classification or a regression task? Sometimes predicting the next value involves classification, but I'll assume you're looking for regression for now.

As a starting point, try feeding each of those sequences separately as input to a recurrent neural network (start with a basic LSTM and pare it down if it's overkill). I like your suggestion of overlapping windows.

For example (pseudocode-ish):

series_1 = 1, 2, 3, ..., 100

series_2 = 5, 6, 7, ..., 200

input_1 = Input(series_1,       window_size)

input_2 = Input(series_2, window_size)

layer_1 = LSTM(input_1, input_2)

final_layer = fully_connected(layer_1)
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You should definitely check an LSTM-RNN or GRU-RNN implementation; the second one is easier to understand and less computationally expensive.

A valuable example is:

https://machinelearningmastery.com/multivariate-time-series-forecasting-lstms-keras/

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You could explicitly provide correlation as an nn input, as calculated in Local Correlation Tracking in Time Series, with code available via Vlad's Blog.

I have also read a paper ( unfortunately I can't remember its title or names of authors for a google search ) where a prediction of future correlation is an explicit nn target as part of a multivariate target nn target. The authors claimed inclusion of correlation as a target improved the accuracy on the non-correlation part of the multivariate target.

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