Beyond Traditional Forecasting Methods: Evaluating LSTM Performance on Diverse Time Series

Source abstract

Time series forecasting performance is strongly influenced by the structural properties of the underlying data, yet learning-based models are often applied without sufficient validation of this dependency. This study evaluates a uniformly configured Long Short-Term Memory (LSTM) model on five real-world weekly time series with different levels of periodicity, noise, and volatility. Forecasting is performed in a single-step setting using a fixed sliding window of 12 weeks under a consistent training, validation, and testing framework. Model performance is assessed using mean squared error (MSE) and the coefficient of determination R2. The results show that for well-structured series, both the LSTM model and Holt’s exponential smoothing achieve very low MSE values with R2 scores close to one, indicating excellent predictive accuracy. For other items, performance varies across methods, with either the LSTM or Holt model providing the best results depending on the data structure. These findings confirm that high forecasting accuracy can be achieved with both advanced and classical methods, and that data characteristics play a more decisive role than model complexity.