Multi-step forecasting of multivariate time series using multi-attention collaborative network

Xiaoyu He, Suixiang Shi, Xiulin Geng, Jie Yu, Lingyu Xu

Abstract: Highlights•A triangle structured multi-attention model for multivariate time series prediction.•Variables-distillation attention selects the most relevant non-predictive variables.•The KeLSTM uses non-predictive variables to enrich the target variable’s semantics.•The model distinguishes the effects of target and non-predictive variables on tasks.•MACN is competitive in multivariate time series multi-step prediction.