Time series prediction with neural networks have been focus of much research in the past few decades. Given the recent deep learning revolution, there has been much attention in using deep learning models for time series prediction, and hence it is important to evaluate their strengths and weaknesses. In this paper, we present an evaluation study that compares the performance of deep learning models for multi-step ahead time series prediction. Our deep learning methods compromise of simple recurrent neural networks, long short term memory (LSTM) networks, bidirectional LSTM  , encoder-decoder LSTM networks, and convolutional neural networks. We also provide comparison with simple neural networks  use stochastic gradient descent and adaptive gradient method (Adam) for training. We focus on univariate and multi-step-ahead prediction from benchmark time series datasets and compare with results from from the literature. The results show that  bidirectional and encoder-decoder LSTM provide the best performance in accuracy for the given time series problems with different properties .
Time series prediction with neural networks has been the focus of much research in the past few decades. Given the recent deep learning revolution, there has been much attention in using deep learning models for time series prediction, and hence it is important to evaluate their strengths and weaknesses. In this paper, we present an evaluation study that compares the performance of deep learning models for multi-step ahead time series prediction. The deep learning methods comprise simple recurrent neural networks, long short-term memory (LSTM) networks, bidirectional LSTM networks , encoder-decoder LSTM networks, and convolutional neural networks. We provide a further comparison with simple neural networks that use stochastic gradient descent and adaptive moment estimation (Adam) for training. We focus on univariate time series for multi-step-ahead prediction from benchmark time-series datasets and provide a further comparison of the results with related methods from the literature. The results show that the bidirectional and encoder-decoder LSTM network provides the best performance in accuracy for the given time series problems .
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