Combining Global and Sequential Patterns for Multivariate Time Series Forecasting

Zhaoxi Li, Jun He, Hongyan Liu, Xiaoyong Du

Abstract: Multivariate time series forecasting is very important for many applications. Many studies have been conducted for accurate and interpretable prediction methods. However, existing methods either cannot take both times series and covariates into consideration, lacking of interpretability, or ignore global trends across multivariate time series. In this paper, we aim to solve these issues. To this end, we propose a new model named TEDGE for accurate and interpretable time series prediction. In this model, we extract global trends hidden across multivariate times series to improve prediction accuracy. Meanwhile, we utilize a deep recurrent model with attention mechanism to find long-and short-term sequential patterns hidden in individual time series with interpretability. We conduct experiments on several datasets to evaluate the proposed models performance. Results demonstrate the superior performance of our proposed model.