MMFNet: Multi-Scale Frequency Masking Neural Network for Multivariate Time Series Forecasting

ICLR 2025 Conference Submission1927 Authors

Keywords: Time series forecasting, Multi-scale frequency domain decomposition

Abstract:

Long-term Time Series Forecasting (LTSF) is critical for numerous real-world applications, such as electricity consumption planning, financial forecasting, and disease propagation analysis. LTSF requires capturing long-range dependencies between inputs and outputs, which poses significant challenges due to complex temporal dynamics and high computational demands. While linear models reduce model complexity by employing frequency domain decomposition, current approaches often assume stationarity and filter out high-frequency components that may contain crucial short-term fluctuations. In this paper, we introduce MMFNet, a novel model designed to enhance long-term multivariate forecasting by leveraging a multi-scale masked frequency decomposition approach. MMFNet captures fine, intermediate, and coarse-grained temporal patterns by converting time series into frequency segments at varying scales while employing a learnable mask to filter out irrelevant components adaptively.
Extensive experimentation with benchmark datasets shows that MMFNet not only addresses the limitations of the existing methods but also consistently achieves good performance. Specifically, MMFNet achieves up to 6.0\% reductions in the Mean Squared Error (MSE) compared to state-of-the-art models designed for multivariate forecasting tasks.

Primary Area: learning on time series and dynamical systems

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Submission Number: 1927