Universal script for time series prediction

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TJetter
Posts: 236
Joined: Sat 13. Oct 2012, 11:04

Universal script for time series prediction

Postby TJetter » Thu 6. Feb 2014, 15:30

Attached to this post you will find a universal and quite powerful script for time series prediction using MemBrain in combination with time variant or time invariant nets.

When working with time series prediction quite sophisticated data manipulation and operational steps must be undertaken. Because of this I generated a script which automizes the whole procedure of data preparation, training, validation and extrapolation into the future.

The script contains a text passage in its header with important additional information. Please read through this text before to start working with the script.

Should you have any questions or comments please post them here with this thread.

ATTENTION: As allways, I can not guarantee for the correctness of the script or the generated data! Use of this script is as always at your own risk!

Note: The CSV files which come with this packet have been generated on a machine with German operating system. As such, they use the field limiter 'semocolon' (';') and the decimal limiter 'comma' (',').
Should the script be used on a machine with anglo-american operating system setting then the characters in the CSV files must be replaced accordingly:
First, replace all ',' by '.' - then replace all ';' by','.

<Edit 2014-02-09>: Zip file replaced, integrated more options
<Edit 2014-11-04>: Zip file replaced, extended functionality to use with time invariant nets through enhanced data pre-processing
<Edit 2015-02-29>: Replaced zip file of variant with 'rolling training data set': Bug fix and performance improvements
<Edit 2015-03-31>: Replaced zip file of variant without 'rolling training data set': Performance improvements and additional trace window outputs

Kind regards,
Attachments
TimeSeriesPrediction.zip
zip file containing script and all required example files. Variant with fix training and validation data set separation and with adjustable number of data points to be extrapolated into the future. Creates a separate folder when being extracted.
(39.62 KiB) Downloaded 170 times
TimeSeriesPredictionRolling.zip
zip file containing script and all required example files. Variant with rolling training data set and exrapolation, one data point into the future for each rolling action. Currently no predictions into the future are performed with this script version beyond the data provided with the analysis data set. I.e., currently can only be used for testing the ideal net architecture and prediction quality. Use other script variant for prediction into the future. Creates a separate folder when being extracted.
(34.56 KiB) Downloaded 168 times
Thomas Jetter

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