Reversible Instance Normalization for Accurate Time-Series Forecasting against Distribution ShiftDownload PDF

Published: 28 Jan 2022, Last Modified: 13 Feb 2023ICLR 2022 PosterReaders: Everyone
Keywords: Time-series forecasting, Normalization, Distribution shift
Abstract: Statistical properties such as mean and variance often change over time in time series, i.e., time-series data suffer from a distribution shift problem. This change in temporal distribution is one of the main challenges that prevent accurate time-series forecasting. To address this issue, we propose a simple yet effective normalization method called reversible instance normalization (RevIN), a generally-applicable normalization-and-denormalization method with learnable affine transformation. The proposed method is symmetrically structured to remove and restore the statistical information of a time-series instance, leading to significant performance improvements in time-series forecasting, as shown in Fig. 1. We demonstrate the effectiveness of RevIN via extensive quantitative and qualitative analyses on various real-world datasets, addressing the distribution shift problem.
One-sentence Summary: We propose a simple yet effective normalization method, reversible instance normalization (RevIN), which solves the time-series forecasting task against the distribution shift problem.
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