在隐空间保持趋势与季节性,让模型更好处理非平稳时间序列。
Preserving Seasonal and Trend Information: A Variational Autoencoder-Latent Space Arithmetic Based Approach for Non-stationary Learning
- 用差分与分解技术在隐空间实现平稳化,保留原始趋势和季节模式。
- 在两个非平稳数据集上测试,多种深度学习模型均达到先进水平的预测精度。
- 适合需要长期依赖建模的时间序列任务,如金融、气象预测。
人工智能模型在预测任务自动化方面备受关注,但多数模型假设训练环境为平稳状态,导致在非平稳数据上表现不佳,因模型学到了静态关系。现有方法通过预处理使数据平稳,但会丢失趋势与季节性等关键信息,而这些是学习系统时序依赖性的核心。本研究提出一种基于变分自编码器(VAE)隐空间算术(LSA)的方法,在隐空间内强制平稳行为的同时,保留趋势与季节性信息。该方法结合差分、时间序列分解与隐空间算术,将关键信息以嵌入形式存储于VAE隐空间中。在两个非平稳时间序列数据集上评估,采用所提方法生成的隐向量表示作为输入,训练了四种深度学习模型,所有模型在使用RMSE作为评价指标时均表现出与当前最先进方法相当的预测性能。
原文摘要 · Abstract (English)
AI models have garnered significant research attention towards predictive task automation. However, a stationary training environment is an underlying assumption for most models and such models simply do not work on non-stationary data since a stationary relationship is learned. The existing solutions propose making data stationary prior to model training and evaluation. This leads to loss of trend and seasonal patterns which are vital components for learning temporal dependencies of the system under study. This research aims to address this limitation by proposing a method for enforcing stationary behaviour within the latent space while preserving trend and seasonal information. The method deploys techniques including Differencing, Time-series decomposition, and Latent Space Arithmetic (LSA), to learn information vital for efficient approximation of trend and seasonal information which is then stored as embeddings within the latent space of a Variational Autoencoder (VAE). The approach's ability to preserve trend and seasonal information was evaluated on two time-series non-stationary datasets. For predictive performance evaluation, four deep learning models were trained on the latent vector representations of the datasets after application of the proposed method and all models produced competitive results in comparison with state-of-the-art techniques using RMSE as the performance metric.
Thank you to arXiv for use of its open access interoperability. PaperDance 不是 arXiv 官方产品;中文卡片由大模型生成,请以原文为准。