Non-linear Time Series Prediction using Improved CEEMDAN, SVD and LSTM

Abstract

This study recommends a new time series forecasting model, namely ICEEMDAN - SVD - LSTM model, which coalesces Improved Complete Ensemble EMD with Adaptive Noise, Singular Value Decomposition and Long Short Term Memory network. It can be applied to analyse Non-linear and non-stationary data. The framework of this model is comprised of three levels, namely ICEEMDAN level, SVD level and LSTM level. The first level utilized ICEEMDAN to break up the series into some IMF components along with a residue. The SVD in the second level accounts for de-noising of every IMF component and residue. LSTM forecasts all the resultant IMF components and residue in third level. To obtain the forecasted values of the original data, the predictions of all IMF components and residue are added. The proposed model is contrasted with other extant ones, namely LSTM model, EMD - LSTM model, EEMD - LSTM model, CEEMDAN - LSTM model, EEMD - SVD - LSTM model, ICEEMDAN - LSTM model and CEEMDAN - SVD - LSTM model. The comparison bears witness to the potential of the recommended model over the traditional models.