Paper ID: 2407.21275

Fi$^2$VTS: Time Series Forecasting Via Capturing Intra- and Inter-Variable Variations in the Frequency Domain

Rujia Shen, Yang Yang, Yaoxion Lin, Liangliang Liu, Boran Wang, Yi Guan, Jingchi Jiang

Time series forecasting (TSF) plays a crucial role in various applications, including electricity transformation, medical monitoring, and crop growth. Despite the advancements in deep learning methods for TSF, their capacity to predict long-term series remains constrained. This limitation arises from the failure to account for both intra- and inter-variable variations meanwhile. To mitigate this challenge, we introduce the Fi$^2$VBlock, which leverages a \textbf{F}requency domain perspective to capture \textbf{i}ntra- and \textbf{i}nter-variable \textbf{V}ariations. After transforming into the frequency domain via the Frequency Transform Module, the Frequency Cross Attention between the real and imaginary parts is designed to obtain enhanced frequency representations and capture intra-variable variations. Furthermore, Inception blocks are employed to integrate information, thus capturing correlations across different variables. Our backbone network, Fi$^2$VTS, employs a residual architecture by concatenating multiple Fi$^2$VBlocks, thereby preventing degradation issues. Theoretically, we demonstrate that Fi$^2$VTS achieves a substantial reduction in both time and memory complexity, decreasing from $\mathcal{O}(L^2)$ to $\mathcal{O}(L)$ per Fi$^2$VBlock computation. Empirical evaluations on three benchmark datasets reveal that Fi$^2$VTS delivers an overall relative Mean Squared Error (MSE) reduction of 30\% and an overall relative Mean Absolute Error (MAE) reduction of 22\% when compared to the latest state-of-the-art methods. The implementation code is accessible at \url{this https URL}.

Submitted: Jul 31, 2024