Learning Deep Time-index Models for Time Series Forecasting
About
Deep learning has been actively applied to time series forecasting, leading to a deluge of new methods, belonging to the class of historical-value models. Yet, despite the attractive properties of time-index models, such as being able to model the continuous nature of underlying time series dynamics, little attention has been given to them. Indeed, while naive deep time-index models are far more expressive than the manually predefined function representations of classical time-index models, they are inadequate for forecasting, being unable to generalize to unseen time steps due to the lack of inductive bias. In this paper, we propose DeepTime, a meta-optimization framework to learn deep time-index models which overcome these limitations, yielding an efficient and accurate forecasting model. Extensive experiments on real world datasets in the long sequence time-series forecasting setting demonstrate that our approach achieves competitive results with state-of-the-art methods, and is highly efficient. Code is available at https://github.com/salesforce/DeepTime.
Related benchmarks
| Task | Dataset | Result | Rank | |
|---|---|---|---|---|
| Multivariate Forecasting | Traffic | MSE0.69 | 149 | |
| Multivariate Forecasting | Electricity | MSE0.667 | 126 | |
| Univariate Time Series Forecasting | Traffic | MSE0.382 | 52 | |
| Univariate Time Series Forecasting | Electricity | MSE0.436 | 26 | |
| Univariate Forecasting | Solar (H) | MSE0.432 | 12 | |
| Multivariate Forecasting | Solar (H) | MSE0.812 | 8 |