TimeXer: Empowering Transformers for Time Series Forecasting with Exogenous Variables
<|reference_start|>TimeXer: Empowering Transformers for Time Series Forecasting with Exogenous Variables: Recent studies have demonstrated remarkable performance in time series forecasting. However, due to the partially-observed nature of real-world applications, solely focusing on the target of interest, so-called endogenous variables, is usually insufficient to guarantee accurate forecasting. Notably, a system is often recorded into multiple variables, where the exogenous series can provide valuable external information for endogenous variables. Thus, unlike prior well-established multivariate or univariate forecasting that either treats all the variables equally or overlooks exogenous information, this paper focuses on a practical setting, which is time series forecasting with exogenous variables. We propose a novel framework, TimeXer, to utilize external information to enhance the forecasting of endogenous variables. With a deftly designed embedding layer, TimeXer empowers the canonical Transformer architecture with the ability to reconcile endogenous and exogenous information, where patch-wise self-attention and variate-wise cross-attention are employed. Moreover, a global endogenous variate token is adopted to effectively bridge the exogenous series into endogenous temporal patches. Experimentally, TimeXer significantly improves time series forecasting with exogenous variables and achieves consistent state-of-the-art performance in twelve real-world forecasting benchmarks.<|reference_end|>
@article{wang2024timexer:,
    title={TimeXer: Empowering Transformers for Time Series Forecasting with
  Exogenous Variables},
    author={Yuxuan Wang, Haixu Wu, Jiaxiang Dong, Guo Qin, Haoran Zhang, Yong Liu,
  Yunzhong Qiu, Jianmin Wang, Mingsheng Long},
    journal={arXiv preprint arXiv:2402.19072},
    year={2024},
    archivePrefix={arXiv},
    eprint={2402.19072},
    primaryClass={cs.LG cs.AI}
}