Spatiotemporal-Linear: Towards Universal Multivariate Time Series Forecasting
This work addresses a critical limitation in simple linear models for time series forecasting, making it more universally applicable, though it appears incremental as it builds on existing linear approaches.
The paper tackles the problem of multivariate time series forecasting by introducing the SpatioTemporal-Linear (STL) framework, which integrates spatial and temporal information into a linear model to overcome performance bottlenecks, resulting in empirical evidence showing it outperforms both Linear and Transformer benchmarks across various datasets and conditions.
Within the field of complicated multivariate time series forecasting (TSF), popular techniques frequently rely on intricate deep learning architectures, ranging from transformer-based designs to recurrent neural networks. However, recent findings suggest that simple Linear models can surpass sophisticated constructs on diverse datasets. These models directly map observation to multiple future time steps, thereby minimizing error accumulation in iterative multi-step prediction. Yet, these models fail to incorporate spatial and temporal information within the data, which is critical for capturing patterns and dependencies that drive insightful predictions. This oversight often leads to performance bottlenecks, especially under specific sequence lengths and dataset conditions, preventing their universal application. In response, we introduce the SpatioTemporal-Linear (STL) framework. STL seamlessly integrates time-embedded and spatially-informed bypasses to augment the Linear-based architecture. These extra routes offer a more robust and refined regression to the data, particularly when the amount of observation is limited and the capacity of simple linear layers to capture dependencies declines. Empirical evidence highlights STL's prowess, outpacing both Linear and Transformer benchmarks across varied observation and prediction durations and datasets. Such robustness accentuates its suitability across a spectrum of applications, including but not limited to, traffic trajectory and rare disease progression forecasting. Through this discourse, we not only validate the STL's distinctive capacities to become a more general paradigm in multivariate time-series prediction using deep-learning techniques but also stress the need to tackle data-scarce prediction scenarios for universal application. Code will be made available.