Enhancing Multivariate Time Series Forecasting with Mutual Information-driven Cross-Variable and Temporal Modeling
<|reference_start|>Enhancing Multivariate Time Series Forecasting with Mutual Information-driven Cross-Variable and Temporal Modeling: Recent advancements have underscored the impact of deep learning techniques on multivariate time series forecasting (MTSF). Generally, these techniques are bifurcated into two categories: Channel-independence and Channel-mixing approaches. Although Channel-independence methods typically yield better results, Channel-mixing could theoretically offer improvements by leveraging inter-variable correlations. Nonetheless, we argue that the integration of uncorrelated information in channel-mixing methods could curtail the potential enhancement in MTSF model performance. To substantiate this claim, we introduce the Cross-variable Decorrelation Aware feature Modeling (CDAM) for Channel-mixing approaches, aiming to refine Channel-mixing by minimizing redundant information between channels while enhancing relevant mutual information. Furthermore, we introduce the Temporal correlation Aware Modeling (TAM) to exploit temporal correlations, a step beyond conventional single-step forecasting methods. This strategy maximizes the mutual information between adjacent sub-sequences of both the forecasted and target series. Combining CDAM and TAM, our novel framework significantly surpasses existing models, including those previously considered state-of-the-art, in comprehensive tests.<|reference_end|>
@article{qi2024enhancing,
    title={Enhancing Multivariate Time Series Forecasting with Mutual
  Information-driven Cross-Variable and Temporal Modeling},
    author={Shiyi Qi, Liangjian Wen, Yiduo Li, Yuanhang Yang, Zhe Li, Zhongwen
  Rao, Lujia Pan, Zenglin Xu},
    journal={arXiv preprint arXiv:2403.00869},
    year={2024},
    archivePrefix={arXiv},
    eprint={2403.00869},
    primaryClass={cs.LG stat.ML}
}