Systems and methods for time series forecasting

Abstract

Systems and methods for providing a neural network system for time series forecasting are described. A time series dataset that includes datapoints at a plurality of timestamps in an observed space is received. The neural network system is trained using the time series dataset. The training the neural network includes: generating, using an encoder of the neural network system, one or more estimated latent variables of a latent space for the time series dataset; generating, using an auxiliary predictor of the neural network system, a first latent-space prediction result based on the one or more estimated latent variables; transforming, using a decoder of the neural network system, the first latent-space prediction result to a first observed-space prediction result; and updating parameters of the neural network system based on a loss based on the first observed-space prediction result.