DEFM: Delay E mbedding based Forecast Machine for Time Series Forecasting by Spatiotemporal Information Transformation

• URL: http://arxiv.org/abs/2005.07842v2
• Date: Sun, 7 Apr 2024 02:55:23 GMT
• Title: DEFM: Delay E mbedding based Forecast Machine for Time Series Forecasting by Spatiotemporal Information Transformation
• Authors: Hao Peng, Wei Wang, Pei Chen, Rui Liu,
• Abstract summary: Delay-Embedding-based Forecast Machine (DEFM) predicts future values of a target variable in a self-supervised manner based on high-dimensional observations. DEFM uses deep neural networks to effectively extract both the spatially and temporally associated information from observed time series. The DEFM can accurately predict future parameters by transforming parameters through the delay embeddings of a target variable.
• Score: 27.196988830046756
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Making accurate forecasts for a complex system is a challenge in various practical applications. The major difficulty in solving such a problem concerns nonlinear spatiotemporal dynamics with time-varying characteristics. Takens' delay embedding theory provides a way to transform high-dimensional spatial information into temporal information. In this work, by combining delay embedding theory and deep learning techniques, we propose a novel framework, Delay-Embedding-based Forecast Machine (DEFM), to predict the future values of a target variable in a self-supervised and multistep-ahead manner based on high-dimensional observations. With a three-module spatiotemporal architecture, the DEFM leverages deep neural networks to effectively extract both the spatially and temporally associated information from the observed time series even with time-varying parameters or additive noise. The DEFM can accurately predict future information by transforming spatiotemporal information to the delay embeddings of a target variable. The efficacy and precision of the DEFM are substantiated through applications in three spatiotemporally chaotic systems: a 90-dimensional (90D) coupled Lorenz system, the Lorenz 96 system, and the Kuramoto-Sivashinsky (KS) equation with inhomogeneity. Additionally, the performance of the DEFM is evaluated on six real-world datasets spanning various fields. Comparative experiments with five prediction methods illustrate the superiority and robustness of the DEFM and show the great potential of the DEFM in temporal information mining and forecasting

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