1. A deep multivariate time series multistep forecasting network.
- Author
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Yin, Chenrui and Dai, Qun
- Subjects
TECHNOLOGICAL forecasting ,FORECASTING ,TRAFFIC monitoring ,TRAFFIC flow ,ELECTRIC power consumption ,BOX-Jenkins forecasting ,TIME series analysis ,DEMAND forecasting - Abstract
Due to that multivariate time series, multistep forecasting technology has a guiding role in many fields, such as electricity consumption, traffic flow detection, and stock price prediction, many approaches have been proposed, seeking to realize accurate prediction based on historical data. However, multivariate time series in real-world applications often contain complex and non-linear interdependencies between time steps and series, for which traditional approaches that just model dependencies in time dimension may fail to make forecasting accurately. In addition, the traditional cyclic multistep prediction strategy leads to error accumulation and consequently results in the reduction of prediction performance. To address these limitations, we propose a novel Deep Multivariate Time Series Multistep Forecasting Network based on the Encoder-Decoder model, abbreviated as DualMNet. DualMNet uses the temporal patterns module to capture long-term patterns between time steps, and, simultaneously, employs the spatial patterns module to discover the interdependencies between time series. Furthermore, the decoder utilizes the historical data of the target sequence to predict the long time-series sequences at the final forward operation, significantly ameliorating the issue of error accumulation. Finally, the conducted t-test results, based upon the extensive experimental results on the three benchmark multivariate time series datasets, they demonstrate that the multistep predictive performance of DualMNet is significantly superior to those of the comparison models, and the ablation study shows that integrating all the components of DualMNet together results in robust forecasting performance. [ABSTRACT FROM AUTHOR]
- Published
- 2022
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