A Pattern Discovery Approach to Multivariate Time Series Forecasting

• URL: http://arxiv.org/abs/2212.10306v1
• Date: Tue, 20 Dec 2022 14:54:04 GMT
• Title: A Pattern Discovery Approach to Multivariate Time Series Forecasting
• Authors: Yunyao Cheng, Chenjuan Guo, Kaixuan Chen, Kai Zhao, Bin Yang, Jiandong Xie, Christian S. Jensen, Feiteng Huang, Kai Zheng
• Abstract summary: State-of-the-art deep learning methods fail to construct models for full time series because model complexity grows exponentially with time series length. We propose a novel pattern discovery method that can automatically capture diverse and complex time series patterns. We also propose a learnable correlation matrix, that enables the model to capture distinct correlations among multiple time series.
• Score: 27.130141538089152
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Multivariate time series forecasting constitutes important functionality in cyber-physical systems, whose prediction accuracy can be improved significantly by capturing temporal and multivariate correlations among multiple time series. State-of-the-art deep learning methods fail to construct models for full time series because model complexity grows exponentially with time series length. Rather, these methods construct local temporal and multivariate correlations within subsequences, but fail to capture correlations among subsequences, which significantly affect their forecasting accuracy. To capture the temporal and multivariate correlations among subsequences, we design a pattern discovery model, that constructs correlations via diverse pattern functions. While the traditional pattern discovery method uses shared and fixed pattern functions that ignore the diversity across time series. We propose a novel pattern discovery method that can automatically capture diverse and complex time series patterns. We also propose a learnable correlation matrix, that enables the model to capture distinct correlations among multiple time series. Extensive experiments show that our model achieves state-of-the-art prediction accuracy.

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