I have a lot of time series with different lengths. I would like to know what are the best practices to fit them to a Bidirectional LSTM model. The problem is a Binary Classification of Sequence to Sequence. So for every time step, I want to predict the binary class.

Currently, I create a tensor for each data frame with the shape of (1, None, #Features). Then I fit every tensor separately to the model.

Is it better to combine every data frame to a tensor of the shape (#Time Series, None, #Features) and fit them all at once? Does this make even a difference?

Or could it be better to go with the sliding window approach and split one time-series into smaller windows?

I can't specify a max-length of the time-series so I think I cannot use pad-sequence from Keras.


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