Multivariate Time Series Regression with Graph Neural Networks

• URL: http://arxiv.org/abs/2201.00818v1
• Date: Mon, 3 Jan 2022 16:11:46 GMT
• Title: Multivariate Time Series Regression with Graph Neural Networks
• Authors: Stefan Bloemheuvel and Jurgen van den Hoogen and Dario Jozinovi\'c and Alberto Michelini and Martin Atzmueller
• Abstract summary: Recent advances in adapting Deep Learning to graphs have shown promising potential in various graph-related tasks. However, these methods have not been adapted for time series related tasks to a great extent. In this work, we propose an architecture capable of processing these long sequences in a multivariate time series regression task.
• Score: 0.6124773188525718
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Machine learning, with its advances in Deep Learning has shown great potential in analysing time series in the past. However, in many scenarios, additional information is available that can potentially improve predictions, by incorporating it into the learning methods. This is crucial for data that arises from e.g., sensor networks that contain information about sensor locations. Then, such spatial information can be exploited by modeling it via graph structures, along with the sequential (time) information. Recent advances in adapting Deep Learning to graphs have shown promising potential in various graph-related tasks. However, these methods have not been adapted for time series related tasks to a great extent. Specifically, most attempts have essentially consolidated around Spatial-Temporal Graph Neural Networks for time series forecasting with small sequence lengths. Generally, these architectures are not suited for regression or classification tasks that contain large sequences of data. Therefore, in this work, we propose an architecture capable of processing these long sequences in a multivariate time series regression task, using the benefits of Graph Neural Networks to improve predictions. Our model is tested on two seismic datasets that contain earthquake waveforms, where the goal is to predict intensity measurements of ground shaking at a set of stations. Our findings demonstrate promising results of our approach, which are discussed in depth with an additional ablation study.

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