CATS: Enhancing Multivariate Time Series Forecasting by Constructing Auxiliary Time Series as Exogenous Variables

TL;DR

CATS introduces a novel method to generate auxiliary time series from original data, enhancing multivariate forecasting by capturing inter-series relationships with a simple, efficient approach that outperforms existing models.

Contribution

The paper proposes a new auxiliary time series construction method that improves multivariate time series forecasting efficiency and accuracy, outperforming complex models.

Findings

Achieves state-of-the-art forecasting accuracy

Reduces model complexity and parameters

Effectively captures inter-series relationships

Abstract

For Multivariate Time Series Forecasting (MTSF), recent deep learning applications show that univariate models frequently outperform multivariate ones. To address the difficiency in multivariate models, we introduce a method to Construct Auxiliary Time Series (CATS) that functions like a 2D temporal-contextual attention mechanism, which generates Auxiliary Time Series (ATS) from Original Time Series (OTS) to effectively represent and incorporate inter-series relationships for forecasting. Key principles of ATS - continuity, sparsity, and variability - are identified and implemented through different modules. Even with a basic 2-layer MLP as core predictor, CATS achieves state-of-the-art, significantly reducing complexity and parameters compared to previous multivariate models, marking it an efficient and transferable MTSF solution.