DAG: A Dual Correlation Network for Time Series Forecasting with Exogenous Variables
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arXiv
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| Auteurs principaux: | , , , , , |
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| Format: | Preprint |
| Publié: |
2025
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| _version_ | 1866909034443964416 |
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| author | Qiu, Xiangfei Zhu, Yuhan Li, Zhengyu Wu, Xingjian Yang, Bin Hu, Jilin |
| author_facet | Qiu, Xiangfei Zhu, Yuhan Li, Zhengyu Wu, Xingjian Yang, Bin Hu, Jilin |
| contents | Time series forecasting is essential in various domains. Compared to relying solely on endogenous variables (i.e., target variables), considering exogenous variables (i.e., covariates) provides additional predictive information and often leads to more accurate predictions. However, existing methods for time series forecasting with exogenous variables (TSF-X) have the following shortcomings: 1) they do not leverage future exogenous variables, 2) they fail to fully account for the correlation between endogenous and exogenous variables. In this study, to better leverage exogenous variables, especially future exogenous variables, we propose DAG, which utilizes Dual correlAtion network along both the temporal and channel dimensions for time series forecasting with exoGenous variables. Specifically, we propose two core components: the Temporal Correlation Module and the Channel Correlation Module. Both modules consist of a correlation discovery submodule and a correlation injection submodule. The former is designed to capture the correlation effects of historical exogenous variables on future exogenous variables and on historical endogenous variables, respectively. The latter injects the discovered correlation relationships into the processes of forecasting future endogenous variables based on historical endogenous variables and future exogenous variables. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2509_14933 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | DAG: A Dual Correlation Network for Time Series Forecasting with Exogenous Variables Qiu, Xiangfei Zhu, Yuhan Li, Zhengyu Wu, Xingjian Yang, Bin Hu, Jilin Machine Learning Time series forecasting is essential in various domains. Compared to relying solely on endogenous variables (i.e., target variables), considering exogenous variables (i.e., covariates) provides additional predictive information and often leads to more accurate predictions. However, existing methods for time series forecasting with exogenous variables (TSF-X) have the following shortcomings: 1) they do not leverage future exogenous variables, 2) they fail to fully account for the correlation between endogenous and exogenous variables. In this study, to better leverage exogenous variables, especially future exogenous variables, we propose DAG, which utilizes Dual correlAtion network along both the temporal and channel dimensions for time series forecasting with exoGenous variables. Specifically, we propose two core components: the Temporal Correlation Module and the Channel Correlation Module. Both modules consist of a correlation discovery submodule and a correlation injection submodule. The former is designed to capture the correlation effects of historical exogenous variables on future exogenous variables and on historical endogenous variables, respectively. The latter injects the discovered correlation relationships into the processes of forecasting future endogenous variables based on historical endogenous variables and future exogenous variables. |
| title | DAG: A Dual Correlation Network for Time Series Forecasting with Exogenous Variables |
| topic | Machine Learning |
| url | https://arxiv.org/abs/2509.14933 |