Not All Frequencies Are Created Equal:Towards a Dynamic Fusion of Frequencies in Time-Series Forecasting

TL;DR

This paper introduces Frequency Dynamic Fusion (FreDF), a novel method that adaptively combines different frequency components in Fourier domain for improved long-term time series forecasting, addressing the varying importance of frequencies across scenarios.

Contribution

It proposes a scenario-aware approach to treat frequencies differently, reformulates forecasting as learning transfer functions for each frequency, and provides a theoretical generalization bound for the method.

Findings

FreDF outperforms existing methods on multiple benchmarks.

Dynamic fusion of frequencies improves long-term forecasting accuracy.

Theoretical analysis shows FreDF has better generalization ability.

Abstract

Long-term time series forecasting is a long-standing challenge in various applications. A central issue in time series forecasting is that methods should expressively capture long-term dependency. Furthermore, time series forecasting methods should be flexible when applied to different scenarios. Although Fourier analysis offers an alternative to effectively capture reusable and periodic patterns to achieve long-term forecasting in different scenarios, existing methods often assume high-frequency components represent noise and should be discarded in time series forecasting. However, we conduct a series of motivation experiments and discover that the role of certain frequencies varies depending on the scenarios. In some scenarios, removing high-frequency components from the original time series can improve the forecasting performance, while in others scenarios, removing them is harmful to forecasting performance. Therefore, it is necessary to treat the frequencies differently according to specific scenarios. To achieve this, we first reformulate the time series forecasting problem as learning a transfer function of each frequency in the Fourier domain. Further, we design Frequency Dynamic Fusion (FreDF), which individually predicts each Fourier component, and dynamically fuses the output of different frequencies. Moreover, we provide a novel insight into the generalization ability of time series forecasting and propose the generalization bound of time series forecasting. Then we prove FreDF has a lower bound, indicating that FreDF has better generalization ability. Extensive experiments conducted on multiple benchmark datasets and ablation studies demonstrate the effectiveness of FreDF. The code is available at https://github.com/Zh-XY22/FreDF.