融合自学习表征与显式周期特征,提升时序预测精度
TS2Vec-Ensemble: An Enhanced Self-Supervised Framework for Time Series Forecasting
- 用双模型集成架构,分别捕捉动态变化和周期规律
- 在ETT数据集上,多任务预测均显著超越基线模型
- 适合需要长周期预测的工业、金融场景
自监督表示学习(如TS2Vec)虽提升了时序数据分析能力,但其目标函数侧重实例区分,难以捕捉趋势与季节性等关键预测模式。本文提出TS2Vec-Ensemble,通过融合预训练编码器的隐含动态与人工设计的周期特征,构建双回归头集成结构。两个分支分别聚焦于学习到的动态与季节模式,采用自适应加权策略,并针对不同预测时长远端独立优化权重。在ETT基准数据集上的实验表明,该方法在单变量与多变量时序预测任务中均显著优于标准TS2Vec及其他先进模型,验证了融合学习表征与显式时间先验是长周期预测的有效策略。
原文摘要 · Abstract (English)
Self-supervised representation learning, particularly through contrastive methods like TS2Vec, has advanced the analysis of time series data. However, these models often falter in forecasting tasks because their objective functions prioritize instance discrimination over capturing the deterministic patterns, such as seasonality and trend, that are critical for accurate prediction. This paper introduces TS2Vec-Ensemble, a novel hybrid framework designed to bridge this gap. Our approach enhances the powerful, implicitly learned dynamics from a pretrained TS2Vec encoder by fusing them with explicit, engineered time features that encode periodic cycles. This fusion is achieved through a dual-model ensemble architecture, where two distinct regression heads -- one focused on learned dynamics and the other on seasonal patterns -- are combined using an adaptive weighting scheme. The ensemble weights are optimized independently for each forecast horizon, allowing the model to dynamically prioritize short-term dynamics or long-term seasonality as needed. We conduct extensive experiments on the ETT benchmark datasets for both univariate and multivariate forecasting. The results demonstrate that TS2Vec-Ensemble consistently and significantly outperforms the standard TS2Vec baseline and other state-of-the-art models, validating our hypothesis that a hybrid of learned representations and explicit temporal priors is a superior strategy for long-horizon time series forecasting.
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