The Long Short-Term Memory network or LSTM is a recurrent neural network that can learn and forecast long sequences. A benefit of LSTMs in addition to learning long sequences is that they can learn to make a one-shot multi-step forecast which may be useful for time series forecasting. A difficulty with LSTMs is that they can be tricky to configure and it
@jacob I certainly have seen LSTMs used extensively in time series forecasting.For example, in the recent M4 time series competition (which I understand is akin to ImageNet for forecasting), the winner from Uber technologies leveraged RNNs coupled with other novel approaches.