Deep Learning Forecasting

Deep Learning Forecasting (RNN/LSTM)

When to Use

Use ForecasterRnn when:

• You have large datasets (thousands of observations)
• Complex nonlinear patterns that tree-based models struggle with
• Multi-series problems where series share deep temporal patterns

Requirements: pip install skforecast[deeplearning] (installs keras)

Related skills

• Prerequisite: choosing-a-forecaster (confirm ForecasterRnn is the right choice for the data size and pattern)
• Prerequisite: feature-engineering (RNN models still benefit from cyclical / calendar exogenous features)
• Next: hyperparameter-optimization (tune RNN architecture and training hyperparameters)
• Next: prediction-intervals (only conformal intervals are supported for ForecasterRnn)

Stop Conditions

Scan before writing code. Each row lists a rule, the symptom when it is broken, and the recovery. Full pitfall catalog: the troubleshooting-common-errors skill.

Quick Start

import pandas as pd
from skforecast.deep_learning import ForecasterRnn, create_and_compile_model
from sklearn.preprocessing import MinMaxScaler

# 1. Prepare data (DataFrame with DatetimeIndex, columns = series)
series = pd.read_csv('data.csv', index_col='date', parse_dates=True)
series = series.asfreq('h')

# 2. Create and compile a Keras model
model = create_and_compile_model(
    series=series,
    lags=48,
    steps=24,
    levels=series.columns.tolist(),  # All series
    recurrent_layer='LSTM',          # 'LSTM', 'GRU', or 'RNN'
    recurrent_units=[64, 32],        # Units per recurrent layer
    dense_units=[32],                # Units per dense layer
    compile_kwargs={'optimizer': 'adam', 'loss': 'mse'},
)

# 3. Create forecaster
forecaster = ForecasterRnn(
    levels=series.columns.tolist(),
    lags=48,
    estimator=model,
    transformer_series=MinMaxScaler(feature_range=(0, 1)),
    fit_kwargs={'epochs': 50, 'batch_size': 32, 'verbose': 0},
)

# 4. Train
forecaster.fit(series=series)

# 5. Predict
predictions = forecaster.predict(steps=24)

Model Architecture with create_and_compile_model

from skforecast.deep_learning import create_and_compile_model

# Simple LSTM
model = create_and_compile_model(
    series=series,
    lags=48,
    steps=24,
    levels='target',
    recurrent_layer='LSTM',
    recurrent_units=[64],
    dense_units=[32],
    compile_kwargs={'optimizer': 'adam', 'loss': 'mse'},
)

# Stacked LSTM (multiple recurrent layers)
model = create_and_compile_model(
    series=series,
    lags=48,
    steps=24,
    levels=series.columns.tolist(),
    recurrent_layer='LSTM',
    recurrent_units=[128, 64, 32],  # 3 stacked LSTM layers
    dense_units=[64, 32],           # 2 dense layers
    compile_kwargs={'optimizer': 'adam', 'loss': 'mse'},
)

# GRU variant (faster training)
model = create_and_compile_model(
    series=series,
    lags=48,
    steps=24,
    levels='target',
    recurrent_layer='GRU',
    recurrent_units=[64],
    dense_units=[32],
    compile_kwargs={'optimizer': 'adam', 'loss': 'mse'},
)

# Advanced: customize layer kwargs
model = create_and_compile_model(
    series=series,
    lags=48,
    steps=24,
    levels=series.columns.tolist(),
    recurrent_layer='LSTM',
    recurrent_units=[128, 64],
    recurrent_layers_kwargs={'activation': 'tanh'},   # default
    dense_units=[64],
    dense_layers_kwargs={'activation': 'relu'},        # default
    output_dense_layer_kwargs={'activation': 'linear'}, # default
    compile_kwargs={'optimizer': 'adam', 'loss': 'mse'},
    model_name='my_lstm_model',
)

With Exogenous Variables

When using exogenous variables, pass exog to create_and_compile_model so it builds the correct architecture (uses TimeDistributed layers internally).

# exog must be a DataFrame covering the training period
exog = pd.DataFrame({'temperature': [...], 'holiday': [...]}, index=series.index)

model = create_and_compile_model(
    series=series,
    lags=48,
    steps=24,
    levels=series.columns.tolist(),
    exog=exog,                        # Passes exog info to build architecture
    recurrent_layer='LSTM',
    recurrent_units=[64, 32],
    dense_units=[32],
    compile_kwargs={'optimizer': 'adam', 'loss': 'mse'},
)

forecaster = ForecasterRnn(
    levels=series.columns.tolist(),
    lags=48,
    estimator=model,
    fit_kwargs={'epochs': 50, 'batch_size': 32, 'verbose': 0},
)

forecaster.fit(series=series, exog=exog)
predictions = forecaster.predict(steps=24, exog=exog_test)  # exog_test covers forecast horizon

Custom Keras Model

import keras

# Build your own model for full control (single level, no exog)
# Output units = steps * n_levels. For 1 level: steps. For N levels: steps * N + Reshape.
inputs = keras.layers.Input(shape=(48, 1))  # (lags, n_features)
x = keras.layers.LSTM(64, return_sequences=True)(inputs)
x = keras.layers.LSTM(32)(x)
x = keras.layers.Dense(32, activation='relu')(x)
outputs = keras.layers.Dense(24)(x)  # steps * n_levels (here 24 * 1)

model = keras.Model(inputs=inputs, outputs=outputs)
model.compile(optimizer='adam', loss='mse')

forecaster = ForecasterRnn(
    levels='target',
    lags=48,
    estimator=model,
    transformer_series=MinMaxScaler(feature_range=(0, 1)),
    fit_kwargs={'epochs': 100, 'batch_size': 32},
)

Multi-series custom model: For N levels, the output layer should be Dense(steps * n_levels) followed by Reshape((steps, n_levels)).

Prediction Intervals

# ForecasterRnn supports conformal prediction only
forecaster.fit(series=series, store_in_sample_residuals=True)

predictions = forecaster.predict_interval(
    steps=24,
    method='conformal',           # Only 'conformal' supported
    interval=[0.1, 0.9],
    use_in_sample_residuals=True,
    use_binned_residuals=True,    # Better calibration with binned residuals
)

Backtesting

from skforecast.model_selection import backtesting_forecaster_multiseries, TimeSeriesFold

cv = TimeSeriesFold(
    steps=24,
    initial_train_size=len(series) - 200,
    refit=False,  # Retraining RNNs is expensive; set True only if needed
)

metric, predictions = backtesting_forecaster_multiseries(
    forecaster=forecaster,
    series=series,
    cv=cv,
    metric='mean_absolute_error',
)

Common Mistakes

1. Not scaling data: RNNs are sensitive to scale. Always use transformer_series=MinMaxScaler().
2. Too few epochs: Deep learning needs more training iterations. Start with 50-100 epochs.
3. Wrong input shape: The lags parameter in ForecasterRnn and create_and_compile_model must match.
4. Refit=True in backtesting: Retraining RNNs at every fold is very slow — use refit=False or refit=5.
5. No GPU: Training is slow on CPU. Use GPU if available.
6. Using predict_interval(method='bootstrapping'): ForecasterRnn only supports method='conformal'.
7. Forgetting exog in create_and_compile_model: If you use exog in fit()/predict(), you must also pass exog when building the model so the architecture accounts for the extra input features.

References

See references/architecture-options.md for the complete create_and_compile_model signature, recurrent layer types, output shape rules, exog architecture, custom Keras model requirements, and fit_kwargs options.