Neural Additive Models for Nowcasting
This work addresses the need for interpretable models in time-series forecasting, particularly for nowcasting applications, offering a solution that balances performance and explainability.
The paper tackles the problem of interpretability in deep neural networks for multivariate nowcasting by proposing a neural additive model approach that provides explanatory importance for each input value across variables and time steps, achieving prediction accuracy comparable to state-of-the-art neural networks.
Deep neural networks (DNNs) are one of the most highlighted methods in machine learning. However, as DNNs are black-box models, they lack explanatory power for their predictions. Recently, neural additive models (NAMs) have been proposed to provide this power while maintaining high prediction performance. In this paper, we propose a novel NAM approach for multivariate nowcasting (NC) problems, which comprise an important focus area of machine learning. For the multivariate time-series data used in NC problems, explanations should be considered for every input value to the variables at distinguishable time steps. By employing generalized additive models, the proposed NAM-NC successfully explains each input value's importance for multiple variables and time steps. Experimental results involving a toy example and two real-world datasets show that the NAM-NC predicts multivariate time-series data as accurately as state-of-the-art neural networks, while also providing the explanatory importance of each input value. We also examine parameter-sharing networks using NAM-NC to decrease their complexity, and NAM-MC's hard-tied feature net extracted explanations with good performance.