MTS-UNMixers: Multivariate Time Series Forecasting via Channel-Time Dual Unmixing

• URL: http://arxiv.org/abs/2411.17770v1
• Date: Tue, 26 Nov 2024 08:23:42 GMT
• Title: MTS-UNMixers: Multivariate Time Series Forecasting via Channel-Time Dual Unmixing
• Authors: Xuanbing Zhu, Dunbin Shen, Zhongwen Rao, Huiyi Ma, Yingguang Hao, Hongyu Wang,
• Abstract summary: We propose a channel-time dual unmixing network for time series forecasting (named MTS-UNMixer) MTS-UNMixers decomposes the entire series into critical bases and coefficients across both the time and channel dimensions. Results show that MTS-UNMixers significantly outperform existing methods on multiple benchmark datasets.
• Score: 3.192685534395382
• License:
• Abstract: Multivariate time series data provide a robust framework for future predictions by leveraging information across multiple dimensions, ensuring broad applicability in practical scenarios. However, their high dimensionality and mixing patterns pose significant challenges in establishing an interpretable and explicit mapping between historical and future series, as well as extracting long-range feature dependencies. To address these challenges, we propose a channel-time dual unmixing network for multivariate time series forecasting (named MTS-UNMixer), which decomposes the entire series into critical bases and coefficients across both the time and channel dimensions. This approach establishes a robust sharing mechanism between historical and future series, enabling accurate representation and enhancing physical interpretability. Specifically, MTS-UNMixers represent sequences over time as a mixture of multiple trends and cycles, with the time-correlated representation coefficients shared across both historical and future time periods. In contrast, sequence over channels can be decomposed into multiple tick-wise bases, which characterize the channel correlations and are shared across the whole series. To estimate the shared time-dependent coefficients, a vanilla Mamba network is employed, leveraging its alignment with directional causality. Conversely, a bidirectional Mamba network is utilized to model the shared channel-correlated bases, accommodating noncausal relationships. Experimental results show that MTS-UNMixers significantly outperform existing methods on multiple benchmark datasets. The code is available at https://github.com/ZHU-0108/MTS-UNMixers.

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