arXiv:2507.09445cs.LGcs.AI2025-07被引 2

用傅里叶基函数建模时序,精准捕捉频率与时间特征。

Fourier Basis Mapping: A Time-Frequency Learning Framework for Time Series Forecasting

  • 将傅里叶分量视为余弦正弦基函数系数,实现时间-频率联合建模。
  • 在多个真实数据集上达成最优性能,长短期预测均有效。
  • 适配各类模型,特别适合需要精确频率分析的时序任务。

将傅里叶变换与深度学习结合为时序预测开辟新路径。本文从基函数视角重新审视傅里叶变换:实部与虚部分别对应不同频段的余弦与正弦基函数系数。现有方法存在起始周期不一致、序列长度不一致等问题,难以准确解释频率成分并忽略时间信息。为此提出新型傅里叶基映射(FBM)框架,通过傅里叶基展开与时空映射融合时间-频率特征,显式提取频率信息同时保留时间特性。FBM支持即插即用,仅需调整首层投影即可增强线性、MLP和Transformer模型,分别提出FBM-L、FBM-NL、FBM-NP。进一步设计协同模型FBM-S,将季节、趋势与交互效应分解为三个专用模块,分别建模时间-频率特征。引入交互掩码、中心化、分块、滑动窗口投影与多尺度下采样等技术优化特征学习。在多种真实世界数据集上验证了长短期预测的SOTA表现。

原文摘要 · Abstract (English)

The integration of Fourier transform and deep learning opens new avenues for time series forecasting. We reconsider the Fourier transform from a basis functions perspective. Specifically, the real and imaginary parts of the frequency components can be regarded as the coefficients of cosine and sine basis functions at tiered frequency levels, respectively. We find that existing Fourier-based methods face inconsistent starting cycles and inconsistent series length issues. They fail to interpret frequency components precisely and overlook temporal information. Accordingly, the novel Fourier Basis Mapping (FBM) method addresses these issues by integrating time-frequency features through Fourier basis expansion and mapping in the time-frequency space. Our approach extracts explicit frequency features while preserving temporal characteristics. FBM supports plug-and-play integration with various types of neural networks by only adjusting the first initial projection layer for better performance. First, we propose FBM-L, FBM-NL, and FBM-NP to enhance linear, MLP-based, and Transformer-based models, respectively, demonstrating the effectiveness of time-frequency features. Next, we propose a synergetic model architecture, termed FBM-S, which decomposes the seasonal, trend, and interaction effects into three separate blocks, each designed to model time-frequency features in a specialized manner. Finally, we introduce several techniques tailored for time-frequency features, including interaction masking, centralization, patching, rolling window projection, and multi-scale down-sampling. The results are validated on diverse real-world datasets for both long-term and short-term forecasting tasks with SOTA performance.

时序预测傅里叶变换时间-频率

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