An AutoML Algorithm: Multiple-Steps Ahead Forecasting of Correlated Multivariate Time Series with Anomalies Using Gated Recurrent Unit Networks

Multiple time series forecasting is critical in domains such as energy management, economic analysis, web traffic prediction and air pollution monitoring to support effective resource planning. Traditional statistical learning methods, including Vector Autoregression (VAR) and Vector Autoregressive Integrated Moving Average (VARIMA), struggle with nonstationarity, temporal dependencies, inter-series correlations, and data anomalies such as trend shifts, seasonal variations, and missing data. Furthermore, their effectiveness in multi-step ahead forecasting is often limited. This article presents an Automated Machine Learning (AutoML) framework that provides an end-to-end solution for researchers who lack in-depth knowledge of time series forecasting or advanced programming skills. This framework utilizes Gated Recurrent Unit (GRU) networks, a variant of Recurrent Neural Networks (RNNs), to tackle multiple correlated time series forecasting problems, even in the presence of anomalies. To reduce complexity and facilitate the AutoML process, many model parameters are pre-specified, thereby requiring minimal tuning. This design enables efficient and accurate multi-step forecasting while addressing issues including missing values and structural shifts. We also examine the advantages and limitations of GRU-based RNNs within the AutoML system for multivariate time series forecasting. Model performance is evaluated using multiple accuracy metrics across various forecast horizons. The empirical results confirm our proposed approach’s ability to capture inter-series dependencies and handle anomalies in long-range forecasts.