I managed to classify time series data using Convolutional Neural Network. Convolution Neural Network is basically the same as Artificial Neural Network. The only difference is that, the input to the ANN must be convolved first to extract specific features. In an intuitive way, convolution operation basically highlights specific features of some data. It is best depicted by flashlight shined through different parts of the images. By doing so, we can highlight specific features of the image.
That's the main idea of CNN. It is inherently designed to extract spatial features. The convolution operation is usually stacked, which means you have (row,column,dimensions) so the output of the convolution is 3 dimension. The downside of this process is large computation time. To reduce that, we need pooling or downsampling which basically reduce the size of the feature detectors without losing essential features/information. For example before pooling you have 12 of 6,6 matrix as feature detectors. And after pooling you have 12 convolved data with size of 3,3. You can do these two steps over and over again before flattening which basically squash all those into (n,1) dimensional array. Afterwards, you can do normal ANN steps.
In short, the steps to classify time series data can be done using CNN. Here are the steps:
1.Convolution
2.Pooling
3.Flattening
4.Full connection (normal ANN steps)
You can add convolution and pooling layers as much as you like, but watch out for training time. There's this video by my favourite youtuber, Siraj Raval. By the way, I suggest you to use Keras for Deep Learning. Hands down the easiest deep learning library to use. Hope it helps.