Afternoon Poster Session: DMIDAS: Deep Mixed Data Sampling Regression for Long Multi-Horizon Time Series Forecasting

Developments in neural forecasting have shown significant improvements in the accuracy of large-scale systems, yet predicting extremely long horizons remains a challenging task. Two common problems are the volatility of the predictions and the computational complexity; we addressed them by incorporating smoothness regularization and mixed data sampling techniques to a well-performing multi-layer perceptron based architecture (NBEATS). We validate our proposed, DMIDAS, on high-frequency healthcare and electricity price data with long forecasting horizon (~1000 timestamps) where we improve the prediction accuracy by 5% over state-of-the-art models, reducing the number of parameters of NBEATS by nearly 70%.