I have been trying to understand how to build LSTM model for multivariate time series forecast using Keras but I am still unsure how to present the data in the correct shape.
My Dataset:
• 5 cities.
• Each with 2 features. Temperature and humidity.
• Daily records of the last 10 weeks(Monday, Tuesday, …, Sunday)
What I want to do:
Given Monday’s record of the new week of a city, I'd like to forecast the Temperature and humidity for the remaining 6 days of that city. I.e. Multi-Step Forecast for Multivariate Time Series. Output shape(6,2)
How I have started off:
For each city, the input shape [(num_samples, num_time_steps, num_features) ] would be (10, 7, 2).
For 10 weeks, I will have five unique samples(5-cities) with the same shape (70, 2). So if I stack all vertically I will have (350, 2) or 3D shape (50,7,2).
Then create a supervised series with lag 1, I will have a shape(244, 4)
# Split train/test data.
train on 7-weeks. So input_shape= 5*(7,7,2) = (35,7,2)
test on 3-weeks. . So input_shape= 5*(3,7,2) = (15,7, 2)
What I am confused about:
The above layout seems to disregard the unique nature of each sample. I looked at this but still a bit confused about how to transform it to a regression model.
I want the network to train each city's data separately as in this pic I would appreciate any suggestion. Thanks
