ATFNet: Adaptive Time-Frequency Ensembled Network for Long-term Time Series Forecasting

TL;DR

ATFNet is a novel framework that combines time and frequency domain modules with dynamic weighting and enhanced Fourier techniques to improve long-term time series forecasting accuracy.

Contribution

It introduces a dual-module architecture with a novel weighting mechanism and an extended DFT to better capture dependencies and periodicities in time series data.

Findings

Outperforms state-of-the-art methods on real-world datasets

Effectively captures local and global dependencies

Improves long-term forecasting accuracy

Abstract

The intricate nature of time series data analysis benefits greatly from the distinct advantages offered by time and frequency domain representations. While the time domain is superior in representing local dependencies, particularly in non-periodic series, the frequency domain excels in capturing global dependencies, making it ideal for series with evident periodic patterns. To capitalize on both of these strengths, we propose ATFNet, an innovative framework that combines a time domain module and a frequency domain module to concurrently capture local and global dependencies in time series data. Specifically, we introduce Dominant Harmonic Series Energy Weighting, a novel mechanism for dynamically adjusting the weights between the two modules based on the periodicity of the input time series. In the frequency domain module, we enhance the traditional Discrete Fourier Transform (DFT) with our Extended DFT, designed to address the challenge of discrete frequency misalignment. Additionally, our Complex-valued Spectrum Attention mechanism offers a novel approach to discern the intricate relationships between different frequency combinations. Extensive experiments across multiple real-world datasets demonstrate that our ATFNet framework outperforms current state-of-the-art methods in long-term time series forecasting.