<p>In case of time series data some architectures are performing quite well :  </p>

<ul>
<li><strong>Recurrent Neural Network</strong> (with LSTM, GRU or BERT for example), designed to train on sequence of data    </li>
</ul>

<p>This could be an example : <a href="https://arxiv.org/pdf/1812.04818.pdf" rel="nofollow noreferrer">https://arxiv.org/pdf/1812.04818.pdf</a>  </p>

<p>How this works inside : <a href="https://towardsdatascience.com/illustrated-guide-to-lstms-and-gru-s-a-step-by-step-explanation-44e9eb85bf21" rel="nofollow noreferrer">link</a>  </p>

<p>Example implementation in keras : <a href="https://stackabuse.com/time-series-analysis-with-lstm-using-pythons-keras-library/" rel="nofollow noreferrer">link</a>
, you should then find/design your own architecture</p>

<ul>
<li><strong>TCN</strong>, it uses causal and dilated convolution in order to capture time series data</li>
</ul>

<p>Example : <a href="https://arxiv.org/pdf/1905.03806.pdf" rel="nofollow noreferrer">https://arxiv.org/pdf/1905.03806.pdf</a></p>

<p>How this works : <a href="https://medium.com/@raushan2807/temporal-convolutional-networks-bfea16e6d7d2" rel="nofollow noreferrer">link</a></p>

<p>Implementation in keras : <a href="https://github.com/philipperemy/keras-tcn" rel="nofollow noreferrer">link</a></p>

<p>I would personnaly go for those types of architecture, well suited for time series data.</p>
What is the best machine Learning model to train time series data? [ Not forecasting ]
<p>I have a set of time series data belong to 5 different classes. [ EEG data (1 data point for 1 second). And those data have been divided in to 30-40 second epochs and each epoch is classified into different classes like A,B,C,D,E]. So basically I have around 13500 labelled data.</p>

<pre><code>[10,5,48,75,1,...,22,45,8] = A
[26,47,8,77,4,...,56,88,96] = B  like wise
</code></pre>

<p>What I did was I directly fed these data to a Neural Network and trained the model. But the accuracy was very low around 40%. What want to know is rather than just using a neural network, what is the best model to train time series data? </p>