Caformer: Rethinking Time Series Analysis from Causal Perspective

Time series analysis is a vital task with broad applications in various domains. However, effectively capturing cross-dimension and cross-time dependencies in non-stationary time series poses significant challenges, particularly in the context of environmental factors. The spurious correlation induced by the environment confounds the causal relationships between cross-dimension and cross-time dependencies. In this paper, we introduce a novel framework called Caformer (\underline{\textbf{Ca}}usal Trans\underline{\textbf{former}}) for time series analysis from a causal perspective. Specifically, our framework comprises three components: Dynamic Learner, Environment Learner, and Dependency Learner. The Dynamic Learner unveils dynamic interactions among dimensions, the Environment Learner mitigates spurious correlations caused by environment with a back-door adjustment, and the Dependency Learner aims to infer robust interactions across both time and dimensions. Our Caformer demonstrates consistent state-of-the-art performance across five mainstream time series analysis tasks, including long- and short-term forecasting, imputation, classification, and anomaly detection, with proper interpretability.

SAMSGL: Series-Aligned Multi-Scale Graph Learning for Spatio-Temporal Forecasting

Spatio-temporal forecasting in various domains, like traffic prediction and weather forecasting, is a challenging endeavor, primarily due to the difficulties in modeling propagation dynamics and capturing high-dimensional interactions among nodes. Despite the significant strides made by graph-based networks in spatio-temporal forecasting, there remain two pivotal factors closely related to forecasting performance that need further consideration: time delays in propagation dynamics and multi-scale high-dimensional interactions. In this work, we present a Series-Aligned Multi-Scale Graph Learning (SAMSGL) framework, aiming to enhance forecasting performance. In order to handle time delays in spatial interactions, we propose a series-aligned graph convolution layer to facilitate the aggregation of non-delayed graph signals, thereby mitigating the influence of time delays for the improvement in accuracy. To understand global and local spatio-temporal interactions, we develop a spatio-temporal architecture via multi-scale graph learning, which encompasses two essential components: multi-scale graph structure learning and graph-fully connected (Graph-FC) blocks. The multi-scale graph structure learning includes a global graph structure to learn both delayed and non-delayed node embeddings, as well as a local one to learn node variations influenced by neighboring factors. The Graph-FC blocks synergistically fuse spatial and temporal information to boost prediction accuracy. To evaluate the performance of SAMSGL, we conduct experiments on meteorological and traffic forecasting datasets, which demonstrate its effectiveness and superiority.