Data Augmentation in Time Series Forecasting through Inverted Framework
This work addresses a specific problem in multivariate time series forecasting for researchers and practitioners, offering an incremental improvement over existing inverted frameworks.
The paper tackles limitations of the iTransformer model in multivariate time series forecasting, such as diminished temporal interdependency and noise from nonsignificant variable correlations, by introducing DAIF, a novel data augmentation method that improves performance across multiple datasets and models.
Currently, iTransformer is one of the most popular and effective models for multivariate time series (MTS) forecasting. Thanks to its inverted framework, iTransformer effectively captures multivariate correlation. However, the inverted framework still has some limitations. It diminishes temporal interdependency information, and introduces noise in cases of nonsignificant variable correlation. To address these limitations, we introduce a novel data augmentation method on inverted framework, called DAIF. Unlike previous data augmentation methods, DAIF stands out as the first real-time augmentation specifically designed for the inverted framework in MTS forecasting. We first define the structure of the inverted sequence-to-sequence framework, then propose two different DAIF strategies, Frequency Filtering and Cross-variation Patching to address the existing challenges of the inverted framework. Experiments across multiple datasets and inverted models have demonstrated the effectiveness of our DAIF.