vLinear: A Powerful Linear Model for Multivariate Time Series Forecasting

TL;DR

vLinear introduces a linear multivariate time series forecasting model with a novel vecTrans module for efficient correlation modeling and WFMLoss for improved accuracy, achieving state-of-the-art results with faster inference.

Contribution

The paper proposes vLinear, a linear model with vecTrans for efficient correlation modeling and WFMLoss for enhanced forecasting accuracy, outperforming existing methods.

Findings

Achieves state-of-the-art performance on 22 benchmarks.

Provides up to 5× inference speedups.

WFMLoss improves existing forecasters when used as a plug-in.

Abstract

In this paper, we present \textbf{vLinear}, an effective yet efficient \textbf{linear}-based multivariate time series forecaster featuring two components: the \textbf{v}ecTrans module and the WFMLoss objective. Many state-of-the-art forecasters rely on self-attention or its variants to capture multivariate correlations, typically incurring $\mathcal{O}(N^2)$ computational complexity with respect to the number of variates $N$. To address this, we propose vecTrans, a lightweight module that utilizes a learnable vector to model multivariate correlations, reducing the complexity to $\mathcal{O}(N)$. Notably, vecTrans can be seamlessly integrated into Transformer-based forecasters, delivering up to 5$\times$ inference speedups and consistent performance gains. Furthermore, we introduce WFMLoss (Weighted Flow Matching Loss) as the objective. In contrast to typical \textbf{velocity-oriented} flow matching objectives, we demonstrate that a \textbf{final-series-oriented} formulation yields significantly superior forecasting accuracy. WFMLoss also incorporates path- and horizon-weighted strategies to focus learning on more reliable paths and horizons. Empirically, vLinear achieves state-of-the-art performance across 22 benchmarks and 124 forecasting settings. Moreover, WFMLoss serves as an effective plug-and-play objective, consistently improving existing forecasters. The code is available at https://anonymous.4open.science/r/vLinear.