Research on information leakage in time series prediction based on empirical mode decomposition.

Time series analysis predicts the future based on existing historical data and has a wide range of applications in finance, economics, meteorology, biology, engineering, and other fields. Although the combination of decomposition techniques and machine learning algorithms can effectively solve the problem of predicting nonstationary sequences, this kind of decomposition-integration-prediction strategy of the prediction method has serious defects. After the decomposition of the division of the training set and the test set, the information of the test set in the process of decomposition of the information leakage ultimately shows a high accuracy of the prediction of the illusionary. This paper proposes three improvement strategies for this type of "information leakage" problem: sliding window decomposition (SW-EMD), single training and multiple decomposition (STMP-EMD), and multiple training and multiple decomposition (MTMP-EMD). They are combined with a bidirectional multiscale temporal convolutional network (MSBTCN), bidirectional long- and short-term memory network (BiLSTM), and attention mechanism (DMAttention), which introduces a dependency matrix based on cosine similarity to be applied to water quality prediction. The experimental results show that the model achieves good performance in the prediction of three water quality indicators (pH, DO and KMnO