1. Introducing Spectral Attention for Long-Range Dependency in Time Series Forecasting
- Author
-
Kang, Bong Gyun, Lee, Dongjun, Kim, HyunGi, Chung, DoHyun, and Yoon, Sungroh
- Subjects
Computer Science - Machine Learning ,Computer Science - Artificial Intelligence ,Statistics - Machine Learning - Abstract
Sequence modeling faces challenges in capturing long-range dependencies across diverse tasks. Recent linear and transformer-based forecasters have shown superior performance in time series forecasting. However, they are constrained by their inherent inability to effectively address long-range dependencies in time series data, primarily due to using fixed-size inputs for prediction. Furthermore, they typically sacrifice essential temporal correlation among consecutive training samples by shuffling them into mini-batches. To overcome these limitations, we introduce a fast and effective Spectral Attention mechanism, which preserves temporal correlations among samples and facilitates the handling of long-range information while maintaining the base model structure. Spectral Attention preserves long-period trends through a low-pass filter and facilitates gradient to flow between samples. Spectral Attention can be seamlessly integrated into most sequence models, allowing models with fixed-sized look-back windows to capture long-range dependencies over thousands of steps. Through extensive experiments on 11 real-world time series datasets using 7 recent forecasting models, we consistently demonstrate the efficacy of our Spectral Attention mechanism, achieving state-of-the-art results., Comment: Co-first Author: Bong Gyun Kang, Dongjun Lee. NeurIPS 2024 (Conference on Neural Information Processing Systems)
- Published
- 2024