A multiscale model for multivariate time series forecasting
Abstract Transformer based models for time-series forecasting have shown promising performance and during the past few years different Transformer variants have been proposed in time-series forecasting domain. However, most of the existing methods, mainly represent the time-series from a single scal...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Nature Portfolio
2025-01-01
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| Series: | Scientific Reports |
| Online Access: | https://doi.org/10.1038/s41598-024-82417-4 |
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| Summary: | Abstract Transformer based models for time-series forecasting have shown promising performance and during the past few years different Transformer variants have been proposed in time-series forecasting domain. However, most of the existing methods, mainly represent the time-series from a single scale, making it challenging to capture various time granularities or ignore inter-series correlations between the series which might lead to inaccurate forecasts. In this paper, we address the above mentioned shortcomings and propose a Transformer based model which integrates multi-scale patch-wise temporal modeling and channel-wise representation. In the multi-scale temporal part, the input time-series is divided into patches of different resolutions to capture temporal correlations associated with various scales. The channel-wise encoder which comes after the temporal encoder, models the relations among the input series to capture the intricate interactions between them. In our framework, we further design a multi-step linear decoder to generate the final predictions for the purpose of reducing over-fitting and noise effects. Extensive experiments on seven real world datasets indicate that our model (MultiPatchFormer) achieves state-of-the-art results by surpassing other current baseline models in terms of error metrics and shows stronger generalizability. |
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| ISSN: | 2045-2322 |