Disentangling Long-Short Term State Under Unknown Interventions for Online Time Series Forecasting

TL;DR

This paper introduces a novel framework for disentangling long- and short-term states in online time series forecasting, effectively handling unknown interventions and nonstationarity to improve prediction accuracy.

Contribution

It proposes a theoretical identification framework and a practical LSTD model that disentangles long/short-term states, incorporating constraints to enhance state separation and forecasting performance.

Findings

LSTD outperforms existing methods on benchmark datasets.

The model effectively disentangles long/short-term states under unknown interventions.

Experimental results validate the approach's efficacy in real-world scenarios.

Abstract

Current methods for time series forecasting struggle in the online scenario, since it is difficult to preserve long-term dependency while adapting short-term changes when data are arriving sequentially. Although some recent methods solve this problem by controlling the updates of latent states, they cannot disentangle the long/short-term states, leading to the inability to effectively adapt to nonstationary. To tackle this challenge, we propose a general framework to disentangle long/short-term states for online time series forecasting. Our idea is inspired by the observations where short-term changes can be led by unknown interventions like abrupt policies in the stock market. Based on this insight, we formalize a data generation process with unknown interventions on short-term states. Under mild assumptions, we further leverage the independence of short-term states led by unknown interventions to establish the identification theory to achieve the disentanglement of long/short-term states. Built on this theory, we develop a long short-term disentanglement model (LSTD) to extract the long/short-term states with long/short-term encoders, respectively. Furthermore, the LSTD model incorporates a smooth constraint to preserve the long-term dependencies and an interrupted dependency constraint to enforce the forgetting of short-term dependencies, together boosting the disentanglement of long/short-term states. Experimental results on several benchmark datasets show that our \textbf{LSTD} model outperforms existing methods for online time series forecasting, validating its efficacy in real-world applications.