Edge-Varying Fourier Graph Networks for Multivariate Time Series Forecasting

• URL: http://arxiv.org/abs/2210.03093v2
• Date: Sun, 9 Oct 2022 10:53:49 GMT
• Title: Edge-Varying Fourier Graph Networks for Multivariate Time Series Forecasting
• Authors: Kun Yi and Qi Zhang and Liang Hu and Hui He and Ning An and LongBing Cao and ZhenDong Niu
• Abstract summary: We build an efficient graph convolutional network for time-series variables. A high-efficiency scale-free parameter learning scheme is derived for MTS analysis and forecasting. Experiments show that EV-FGN outperforms state-of-the-art methods on seven real-world MTS datasets.
• Score: 46.76885997673142
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: The key problem in multivariate time series (MTS) analysis and forecasting aims to disclose the underlying couplings between variables that drive the co-movements. Considerable recent successful MTS methods are built with graph neural networks (GNNs) due to their essential capacity for relational modeling. However, previous work often used a static graph structure of time-series variables for modeling MTS failing to capture their ever-changing correlations over time. To this end, a fully-connected supra-graph connecting any two variables at any two timestamps is adaptively learned to capture the high-resolution variable dependencies via an efficient graph convolutional network. Specifically, we construct the Edge-Varying Fourier Graph Networks (EV-FGN) equipped with Fourier Graph Shift Operator (FGSO) which efficiently performs graph convolution in the frequency domain. As a result, a high-efficiency scale-free parameter learning scheme is derived for MTS analysis and forecasting according to the convolution theorem. Extensive experiments show that EV-FGN outperforms state-of-the-art methods on seven real-world MTS datasets.

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