A Pattern Discovery Approach to Multivariate Time Series Forecasting

Multivariate time series forecasting constitutes important functionality in cyber-physical systems, whose prediction accuracy can be improved significantly by capturing temporal and multivariate correlations among multiple time series. State-of-the-art deep learning methods fail to construct models for full time series because model complexity grows exponentially with time series length. Rather, these methods construct local temporal and multivariate correlations within subsequences, but fail to capture correlations among subsequences, which significantly affect their forecasting accuracy. To capture the temporal and multivariate correlations among subsequences, we design a pattern discovery model, that constructs correlations via diverse pattern functions. While the traditional pattern discovery method uses shared and fixed pattern functions that ignore the diversity across time series. We propose a novel pattern discovery method that can automatically capture diverse and complex time series patterns. We also propose a learnable correlation matrix, that enables the model to capture distinct correlations among multiple time series. Extensive experiments show that our model achieves state-of-the-art prediction accuracy.

Historical Inertia: An Ignored but Powerful Baseline for Long Sequence Time-series Forecasting

Long sequence time-series forecasting (LSTF) has become increasingly popular for its wide range of applications. Though superior models have been proposed to enhance the prediction effectiveness and efficiency, it is reckless to ignore or underestimate one of the most natural and basic temporal properties of time-series, the historical inertia (HI), which refers to the most recent data-points in the input time series. In this paper, we experimentally evaluate the power of historical inertia on four public real-word datasets. The results demonstrate that up to 82% relative improvement over state-of-the-art works can be achieved even by adopting HI directly as output.