Time Series is a Special Sequence: Forecasting with Sample Convolution and Interaction

• URL: http://arxiv.org/abs/2106.09305v1
• Date: Thu, 17 Jun 2021 08:15:04 GMT
• Title: Time Series is a Special Sequence: Forecasting with Sample Convolution and Interaction
• Authors: Minhao Liu, Ailing Zeng, Qiuxia Lai, Qiang Xu
• Abstract summary: Time series is a special type of sequence data, a set of observations collected at even intervals of time and ordered chronologically. Existing deep learning techniques use generic sequence models for time series analysis, which ignore some of its unique properties. We propose a novel neural network architecture and apply it for the time series forecasting problem, wherein we conduct sample convolution and interaction at multiple resolutions for temporal modeling.
• Score: 9.449017120452675
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Time series is a special type of sequence data, a set of observations collected at even intervals of time and ordered chronologically. Existing deep learning techniques use generic sequence models (e.g., recurrent neural network, Transformer model, or temporal convolutional network) for time series analysis, which ignore some of its unique properties. For example, the downsampling of time series data often preserves most of the information in the data, while this is not true for general sequence data such as text sequence and DNA sequence. Motivated by the above, in this paper, we propose a novel neural network architecture and apply it for the time series forecasting problem, wherein we conduct sample convolution and interaction at multiple resolutions for temporal modeling. The proposed architecture, namelySCINet, facilitates extracting features with enhanced predictability. Experimental results show that SCINet achieves significant prediction accuracy improvement over existing solutions across various real-world time series forecasting datasets. In particular, it can achieve high fore-casting accuracy for those temporal-spatial datasets without using sophisticated spatial modeling techniques. Our codes and data are presented in the supplemental material.

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