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CITRAS: Covariate-Informed Transformer for Time Series Forecasting

Created by
  • Haebom

Author

Yosuke Yamaguchi, Issei Suemitsu, Wenpeng Wei

Outline

This paper proposes CITRAS, a novel model that effectively utilizes covariates in time series prediction. To address the challenges of existing models, which fail to account for the length differences between future covariates and target variables and struggle to accurately capture the dependencies between target variables and covariates, CITRAS flexibly utilizes multiple targets, including future covariates, and past and future covariates based on a decoder-specific Transformer. Specifically, it introduces two novel mechanisms for patch-wise cross-variable attention: "key-value (KV) shifting" and "attention score smoothing." This mechanism seamlessly integrates future covariates into target variable prediction and captures global inter-variable dependencies while maintaining local accuracy. Experimental results demonstrate that CITRAS outperforms state-of-the-art models on 13 real-world data benchmarks.

Takeaways, Limitations

Takeaways:
A novel method for improving time series forecasting accuracy by leveraging future covariates is presented.
Presenting a general model structure applicable to various types of time series data.
Demonstrating the feasibility of learning effective covariate-target variable dependencies through a patch-level cross-variable attention mechanism.
Achieve state-of-the-art performance across a variety of real-world data benchmarks.
Limitations:
Lack of analysis of the computational complexity and memory usage of the proposed model.
Further research is needed on generalization performance for specific types of time series data.
Further research is needed to determine the optimal parameters of the 'KV shift' and 'attention score smoothing' mechanisms.
Lack of comparative analysis with other types of transformer structures
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