PPGF: Probability Pattern-Guided Time Series Forecasting

• URL: http://arxiv.org/abs/2502.12802v1
• Date: Tue, 18 Feb 2025 12:06:42 GMT
• Title: PPGF: Probability Pattern-Guided Time Series Forecasting
• Authors: Yanru Sun, Zongxia Xie, Haoyu Xing, Hualong Yu, Qinghua Hu,
• Abstract summary: Time series forecasting (TSF) is an essential branch of machine learning with various applications. We propose an end-to-end framework, namely probability-guided time series forecasting (F) PPGF reformulates the TSF problem as a forecasting task guided by probabilistic pattern classification.
• Score: 26.76674322652511
• License:
• Abstract: Time series forecasting (TSF) is an essential branch of machine learning with various applications. Most methods for TSF focus on constructing different networks to extract better information and improve performance. However, practical application data contain different internal mechanisms, resulting in a mixture of multiple patterns. That is, the model's ability to fit different patterns is different and generates different errors. In order to solve this problem, we propose an end-to-end framework, namely probability pattern-guided time series forecasting (PPGF). PPGF reformulates the TSF problem as a forecasting task guided by probabilistic pattern classification. Firstly, we propose the grouping strategy to approach forecasting problems as classification and alleviate the impact of data imbalance on classification. Secondly, we predict in the corresponding class interval to guarantee the consistency of classification and forecasting. In addition, True Class Probability (TCP) is introduced to pay more attention to the difficult samples to improve the classification accuracy. Detailedly, PPGF classifies the different patterns to determine which one the target value may belong to and estimates it accurately in the corresponding interval. To demonstrate the effectiveness of the proposed framework, we conduct extensive experiments on real-world datasets, and PPGF achieves significant performance improvements over several baseline methods. Furthermore, the effectiveness of TCP and the necessity of consistency between classification and forecasting are proved in the experiments. All data and codes are available online: https://github.com/syrGitHub/PPGF.

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