FreDF: Learning to Forecast in the Frequency Domain

• URL: http://arxiv.org/abs/2402.02399v2
• Date: Tue, 06 May 2025 06:56:48 GMT
• Title: FreDF: Learning to Forecast in the Frequency Domain
• Authors: Hao Wang, Licheng Pan, Zhichao Chen, Degui Yang, Sen Zhang, Yifei Yang, Xinggao Liu, Haoxuan Li, Dacheng Tao,
• Abstract summary: Time series modeling presents unique challenges due to autocorrelation in both historical data and future sequences.<n>We propose the Frequency-enhanced Direct Forecast (FreDF) which mitigates label autocorrelation by learning to forecast in the frequency domain.
• Score: 54.2091536822376
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Time series modeling presents unique challenges due to autocorrelation in both historical data and future sequences. While current research predominantly addresses autocorrelation within historical data, the correlations among future labels are often overlooked. Specifically, modern forecasting models primarily adhere to the Direct Forecast (DF) paradigm, generating multi-step forecasts independently and disregarding label autocorrelation over time. In this work, we demonstrate that the learning objective of DF is biased in the presence of label autocorrelation. To address this issue, we propose the Frequency-enhanced Direct Forecast (FreDF), which mitigates label autocorrelation by learning to forecast in the frequency domain, thereby reducing estimation bias. Our experiments show that FreDF significantly outperforms existing state-of-the-art methods and is compatible with a variety of forecast models. Code is available at https://github.com/Master-PLC/FreDF.

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