Prediction of time series using an analysis filter bank of LSTM units

Time series emerge in various applications such as financial data and production data, however, most of the generated data exhibit nonlinear inter-dependency between samples and noise, making necessary the development of methods capable of handling such nonlinearities and other abnormalities. In this paper we present an architecture for prediction of time series embedded in noise. The proposed architecture combines a convolutional and long short term memory (LSTM) layers into a structure similar to an analysis filterbank of two channels. The first element of each channel is a convolutional layer followed by a LSTM, which is able to find temporal dependencies of the signal. Finally the channels are summed to obtain a prediction. We found that the frequency response of the filters resemble a complementary filter bank response, with each channel having a maximum at different bands which could suggest that it characterizes the incoming signal in frequency. Comparisons with other methods demonstrate that the proposed method offer much better results in terms of different error measures.