A Comparison of ARIMA and LSTM in Forecasting Time Series

Sima Siami-Namini, Neda Tavakoli, Akbar Siami Namin

Research output: Chapter in Book/Report/Conference proceedingConference contribution

36 Scopus citations

Abstract

Forecasting time series data is an important subject in economics, business, and finance. Traditionally, there are several techniques to effectively forecast the next lag of time series data such as univariate Autoregressive (AR), univariate Moving Average (MA), Simple Exponential Smoothing (SES), and more notably Autoregressive Integrated Moving Average (ARIMA) with its many variations. In particular, ARIMA model has demonstrated its outperformance in precision and accuracy of predicting the next lags of time series. With the recent advancement in computational power of computers and more importantly development of more advanced machine learning algorithms and approaches such as deep learning, new algorithms are developed to analyze and forecast time series data. The research question investigated in this article is that whether and how the newly developed deep learning-based algorithms for forecasting time series data, such as 'Long Short-Term Memory (LSTM)', are superior to the traditional algorithms. The empirical studies conducted and reported in this article show that deep learning-based algorithms such as LSTM outperform traditional-based algorithms such as ARIMA model. More specifically, the average reduction in error rates obtained by LSTM was between 84 - 87 percent when compared to ARIMA indicating the superiority of LSTM to ARIMA. Furthermore, it was noticed that the number of training times, known as 'epoch' in deep learning, had no effect on the performance of the trained forecast model and it exhibited a truly random behavior.

Original languageEnglish
Title of host publicationProceedings - 17th IEEE International Conference on Machine Learning and Applications, ICMLA 2018
EditorsM. Arif Wani, Moamar Sayed-Mouchaweh, Edwin Lughofer, Joao Gama, Mehmed Kantardzic
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages1394-1401
Number of pages8
ISBN (Electronic)9781538668047
DOIs
StatePublished - Jan 15 2019
Event17th IEEE International Conference on Machine Learning and Applications, ICMLA 2018 - Orlando, United States
Duration: Dec 17 2018Dec 20 2018

Publication series

NameProceedings - 17th IEEE International Conference on Machine Learning and Applications, ICMLA 2018

Conference

Conference17th IEEE International Conference on Machine Learning and Applications, ICMLA 2018
CountryUnited States
CityOrlando
Period12/17/1812/20/18

Keywords

  • Autoregressive Integrated Moving Average (ARIMA)
  • Deep Learning
  • Forecasting
  • Long Short-Term Memory (LSTM)
  • Time Series Data

Fingerprint Dive into the research topics of 'A Comparison of ARIMA and LSTM in Forecasting Time Series'. Together they form a unique fingerprint.

  • Cite this

    Siami-Namini, S., Tavakoli, N., & Siami Namin, A. (2019). A Comparison of ARIMA and LSTM in Forecasting Time Series. In M. A. Wani, M. Sayed-Mouchaweh, E. Lughofer, J. Gama, & M. Kantardzic (Eds.), Proceedings - 17th IEEE International Conference on Machine Learning and Applications, ICMLA 2018 (pp. 1394-1401). [8614252] (Proceedings - 17th IEEE International Conference on Machine Learning and Applications, ICMLA 2018). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/ICMLA.2018.00227