Rethinking Cross-Channel Importance in Time-Series Forecasting

Cross-channel modeling is central to multivariate time-series forecasting, yet channels that are statistically related, predictively useful, and actually used by a trained forecaster are often treated as if they defined the same notion of importance. We show that they need not coincide. Cross-channel dependency structures change substantially across future offsets, and horizon-adaptive source selection improves a controlled Ridge predictor in 21 of 32 dataset--prediction-length conditions, with a mean gain of $5.16\%$. This selected-set signal also transfers to a matched nonlinear predictor. Yet imposing the same horizon-specific source logic on iTransformer yields only 11 of 20 wins and a mean gain of $0.208\%$, with little alignment between controlled and neural gains. Functional interventions further show that strong forecasters use cross-channel information, while their source-reliance rankings agree little with controlled utility or with one another across iTransformer, TimesNet, and a cross-channel TimeMixer. As a constructive consequence, bounded post-hoc support improves a frozen channel-independent forecaster in 12 of 16 dataset--horizon conditions, with a positive aggregate bootstrap interval. Cross-channel importance should therefore be interpreted relative to the forecasting mechanism and question that define it: related $\neq$ useful $\neq$ used.