A multiscale model for multivariate time series forecasting

Authors: Vahid Naghashi and Mounir Boukadoum and Abdoulaye Banire Diallo

Date: 2025-01-01

Journal: Scientific Reports

Status: Published

DOI: 10.1038/s41598-024-82417-4

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Transformer based models for time-series forecasting have shown promising performance and during the past few years different Transformer variants have been proposed in time-series forecasting domain. However, most of the existing methods, mainly represent the time-series from a single scale, making it challenging to capture various time granularities or ignore inter-series correlations between the series which might lead to inaccurate forecasts. In this paper, we address the above mentioned shortcomings and propose a Transformer based model which integrates multi-scale patch-wise temporal modeling and channel-wise representation. In the multi-scale temporal part, the input time-series is divided into patches of different resolutions to capture temporal correlations associated with various scales. The channel-wise encoder which comes after the temporal encoder, models the relations among the input series to capture the intricate interactions between them. In our framework, we further design a multi-step linear decoder to generate the final predictions for the purpose of reducing over-fitting and noise effects. Extensive experiments on seven real world datasets indicate that our model (MultiPatchFormer) achieves state-of-the-art results by surpassing other current baseline models in terms of error metrics and shows stronger generalizability.