Research on the prediction of short time series based on EMD-LSTM

Abstract

An algorithm based on EMD-LSTM (Empirical Mode Decision – Long Short Term Memory) is proposed for predicting short time series with uncertainty, rapid changes, and no following cycle. First, the algorithm eliminates the abnormal data; second, the processed time series are decomposed into basic modal components for different characteristic scales, which can be used for further prediction; finally, an LSTM neural network is used to predict each modal component, and the prediction results for each modal component are summed to determine a final prediction. Experiments are performed on the public datasets available at UCR and compared with a machine learning algorithm based on LSTMs and SVMs. Several experiments have shown that the proposed EMD-LSTM-based short-time series prediction algorithm performs better than LSTM and SVM prediction methods and provides a feasible method for predicting short-time series.