A Joint Time-frequency Domain Transformer for Multivariate Time Series Forecasting

05/24/2023
by   Yushu Chen, et al.
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To enhance predicting performance while minimizing computational demands, this paper introduces a joint time-frequency domain Transformer (JTFT) for multivariate forecasting. The method exploits the sparsity of time series in the frequency domain using a small number of learnable frequencies to extract temporal dependencies effectively. Alongside the frequency domain representation, a fixed number of the most recent data points are directly encoded in the time domain, bolstering the learning of local relationships and mitigating the adverse effects of non-stationarity. JTFT achieves linear complexity since the length of the internal representation remains independent of the input sequence length. Additionally, a low-rank attention layer is proposed to efficiently capture cross-dimensional dependencies and prevent performance degradation due to the entanglement of temporal and channel-wise modeling. Experiments conducted on six real-world datasets demonstrate that JTFT outperforms state-of-the-art methods.

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