TSFEDL: A python library for time series spatio-temporal feature extraction and prediction using deep learning

Abstract

The combination of convolutional and recurrent neural networks is a promising framework. This arrangement allows the extraction of high-quality spatio-temporal features together with their temporal dependencies. This fact is key for time series prediction problems such as forecasting, classification or anomaly detection, amongst others. In this paper, the TSFEDL library is introduced. It compiles 22 state-of-the-art methods for both time series feature extraction and prediction, employing convolutional and recurrent deep neural networks for its use in several data mining tasks. The library is built upon a set of Tensorflow + Keras and PyTorch modules under the AGPLv3 license. The performance validation of the architectures included in this proposal confirms the usefulness of this Python package.