VARMA-Enhanced Transformer for Time Series Forecasting

• URL: http://arxiv.org/abs/2509.04782v1
• Date: Fri, 05 Sep 2025 03:32:51 GMT
• Title: VARMA-Enhanced Transformer for Time Series Forecasting
• Authors: Jiajun Song, Xiaoou Liu,
• Abstract summary: VARMAformer is a novel architecture that synergizes the efficiency of a cross-attention-only framework with the principles of classical time series analysis.<n>By fusing these classical insights into a modern backbone, VARMAformer captures both global, long-range dependencies and local, statistical structures.
• Score: 4.982130518684668
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Transformer-based models have significantly advanced time series forecasting. Recent work, like the Cross-Attention-only Time Series transformer (CATS), shows that removing self-attention can make the model more accurate and efficient. However, these streamlined architectures may overlook the fine-grained, local temporal dependencies effectively captured by classical statistical models like Vector AutoRegressive Moving Average model (VARMA). To address this gap, we propose VARMAformer, a novel architecture that synergizes the efficiency of a cross-attention-only framework with the principles of classical time series analysis. Our model introduces two key innovations: (1) a dedicated VARMA-inspired Feature Extractor (VFE) that explicitly models autoregressive (AR) and moving-average (MA) patterns at the patch level, and (2) a VARMA-Enhanced Attention (VE-atten) mechanism that employs a temporal gate to make queries more context-aware. By fusing these classical insights into a modern backbone, VARMAformer captures both global, long-range dependencies and local, statistical structures. Through extensive experiments on widely-used benchmark datasets, we demonstrate that our model consistently outperforms existing state-of-the-art methods. Our work validates the significant benefit of integrating classical statistical insights into modern deep learning frameworks for time series forecasting.

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