Deep Learning for Time Series
Deep learning conquered images and language, and it's made real inroads into forecasting — RNNs, then transformers, then specialized foundation models for time series. But forecasting is also where deep learning's dominance is most contested, because simple classical methods keep holding their own. This post covers the deep-learning approaches to time series, what they're genuinely good for, and the honest, humbling reality of when they actually beat the simpler alternatives.
Deep learning made inroads into forecasting — RNNs/LSTMs, temporal CNNs, transformers, and emerging time-series foundation models — and genuinely shines with many long related series and complex multivariate dynamics. But the humbling reality: for individual modest-length series, classical methods and simple ML often match or beat it. Not a default.