One useful design Neural networks are used in this Time Series Forecasting.
This review gives some basic steps: (Ref: "Computational Intelligence in Time Series Forecasting" chap 3- Neural Network Approach )
Acquisition, Preprocessing , Normalization and structuring of Data.
Determination of training and test datasets.
Network Architecture Determination:-
- Type of network
- Number of input, output nodes
- Number of layers
- Number of neurons within the layers
- Interconnection between the neurons
- Selection of neuron activation function
- design of the training strategy
- training algorithm , performance index , training monitoring approch.