Performance Improvement in Time Series Prediction through PECNET Framework

Serkan MacIt, Burak Berk Ustundag

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

Machine learning algorithms have garnered con-siderable attention and recognition in the context of addressing time series prediction challenges. However, constructing a ma-chine learning model with optimal architecture and hyperpa-rameters that effectively captures the intricacies inherent in the time series data can present challenges. If the data encompasses multivariable characteristics with chaotic or stochastic proper-ties and has missing parts, the task of constructing an accurate machine learning model with appropriate structure and hy-perparameters becomes further challenging. Addressing the challenge of overfitting, which is a common machine learning problem encountered in such cases where the data exhibits these characteristics, a cascaded neural network, named PECNET (Predictive Error Compensated Wavelet Neural Networks), is a highly favorable alternative to mitigate this issue. PECNET ad-dresses the problem by training separate neural networks in a cascaded manner for each different frequency band of input data features, starting from the input feature most correlated with the target data and applying wavelet transformation to the input data prior to training and utilizing the remaining errors of the prior network as the target labels of the next network. This approach enhances the orthogonality of data characteris-tics across time windows and subsequently reduces the likeli-hood of overfitting as additional networks are added, thereby improving prediction performance. In this study, to tackle the escalation in computational complexity and preempt the occur-rence of implementation errors in time synchronization man-agement, the previously experimentally tested PECNET is transformed into a modular and parametric framework soft-ware, considering the prevalent utilization of off-the-shelf framework software in the majority of artificial intelligence studies. The performance of the developed framework software is initially demonstrated on financial data, and subsequently, within the context of the earthquake prediction project at istan-bul Technical University, it is assessed for the earthquake pre-diction process using chaotic time series data from the Electro-static Rock Stress (ERS) monitoring method.

Original languageEnglish
Title of host publicationProceedings - 22nd IEEE International Conference on Machine Learning and Applications, ICMLA 2023
EditorsM. Arif Wani, Mihai Boicu, Moamar Sayed-Mouchaweh, Pedro Henriques Abreu, Joao Gama
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages1601-1605
Number of pages5
ISBN (Electronic)9798350345346
DOIs
Publication statusPublished - 2023
Event22nd IEEE International Conference on Machine Learning and Applications, ICMLA 2023 - Jacksonville, United States
Duration: 15 Dec 202317 Dec 2023

Publication series

NameProceedings - 22nd IEEE International Conference on Machine Learning and Applications, ICMLA 2023

Conference

Conference22nd IEEE International Conference on Machine Learning and Applications, ICMLA 2023
Country/TerritoryUnited States
CityJacksonville
Period15/12/2317/12/23

Bibliographical note

Publisher Copyright:
© 2023 IEEE.

Keywords

  • data fusion
  • deep learning
  • discrete wavelet transformation
  • earthquake prediction
  • ml frame-work design
  • neural networks
  • time series prediction

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