Enhancing Multivariate Time Series Forecasting with Mutual Information-driven Cross-Variable and Temporal Modeling
Fuente:
arXiv
Enregistré dans:
| Auteurs principaux: | , , , , , , , |
|---|---|
| Format: | Preprint |
| Publié: |
2024
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866929262286602240 |
|---|---|
| author | Qi, Shiyi Wen, Liangjian Li, Yiduo Yang, Yuanhang Li, Zhe Rao, Zhongwen Pan, Lujia Xu, Zenglin |
| author_facet | Qi, Shiyi Wen, Liangjian Li, Yiduo Yang, Yuanhang Li, Zhe Rao, Zhongwen Pan, Lujia Xu, Zenglin |
| contents | Recent advancements have underscored the impact of deep learning techniques on multivariate time series forecasting (MTSF). Generally, these techniques are bifurcated into two categories: Channel-independence and Channel-mixing approaches. Although Channel-independence methods typically yield better results, Channel-mixing could theoretically offer improvements by leveraging inter-variable correlations. Nonetheless, we argue that the integration of uncorrelated information in channel-mixing methods could curtail the potential enhancement in MTSF model performance. To substantiate this claim, we introduce the Cross-variable Decorrelation Aware feature Modeling (CDAM) for Channel-mixing approaches, aiming to refine Channel-mixing by minimizing redundant information between channels while enhancing relevant mutual information. Furthermore, we introduce the Temporal correlation Aware Modeling (TAM) to exploit temporal correlations, a step beyond conventional single-step forecasting methods. This strategy maximizes the mutual information between adjacent sub-sequences of both the forecasted and target series. Combining CDAM and TAM, our novel framework significantly surpasses existing models, including those previously considered state-of-the-art, in comprehensive tests. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_00869 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Enhancing Multivariate Time Series Forecasting with Mutual Information-driven Cross-Variable and Temporal Modeling Qi, Shiyi Wen, Liangjian Li, Yiduo Yang, Yuanhang Li, Zhe Rao, Zhongwen Pan, Lujia Xu, Zenglin Machine Learning Recent advancements have underscored the impact of deep learning techniques on multivariate time series forecasting (MTSF). Generally, these techniques are bifurcated into two categories: Channel-independence and Channel-mixing approaches. Although Channel-independence methods typically yield better results, Channel-mixing could theoretically offer improvements by leveraging inter-variable correlations. Nonetheless, we argue that the integration of uncorrelated information in channel-mixing methods could curtail the potential enhancement in MTSF model performance. To substantiate this claim, we introduce the Cross-variable Decorrelation Aware feature Modeling (CDAM) for Channel-mixing approaches, aiming to refine Channel-mixing by minimizing redundant information between channels while enhancing relevant mutual information. Furthermore, we introduce the Temporal correlation Aware Modeling (TAM) to exploit temporal correlations, a step beyond conventional single-step forecasting methods. This strategy maximizes the mutual information between adjacent sub-sequences of both the forecasted and target series. Combining CDAM and TAM, our novel framework significantly surpasses existing models, including those previously considered state-of-the-art, in comprehensive tests. |
| title | Enhancing Multivariate Time Series Forecasting with Mutual Information-driven Cross-Variable and Temporal Modeling |
| topic | Machine Learning |
| url | https://arxiv.org/abs/2403.00869 |