Embodiments of the invention provide a method and system for machine failure prediction. The method comprises: identifying a plurality of basic memory depth values based on a machine failure history; ascertaining a basic weight range for each of the plurality of basic memory depth values according to a pre-stored table including a plurality of mappings each mapping between a basic memory depth value and a basic weight range, or a predetermined formula for calculating the basic weight range based on the corresponding basic memory depth value; ascertaining a composite initial weight range by calculating an average weight range of the ascertained basic weight range for each identified basic memory depth value; generating initial weights based on the composite initial weight range; and predicting a future failure using a Back Propagation Through Time (BPTT) trained Recurrent Neural Network (RNN) based on the generated initial weights.