通过频谱熵动态评估变量依赖关系,提升多变量时间序列预测精度
SEED: Spectral Entropy-Guided Evaluation of SpatialTemporal Dependencies for Multivariate Time Series Forecasting
- 用频谱熵动态评估时空依赖,自适应平衡独立与依赖策略
- 在12个真实数据集上达到当前最优性能,尤其在复杂依赖场景下优势明显
- 适合需要精确建模变量间负相关和时序位置感知的任务场景
多变量时间序列预测的有效性常依赖于对复杂变量间依赖关系的准确建模。然而,现有基于注意力或图的方法存在三大问题:(a) 强时序自依赖常被无关变量破坏;(b) Softmax归一化忽略并反转负相关;(c) 变量难以感知自身时序位置。为此,我们提出SEED——一种基于频谱熵的时空依赖评估框架。SEED引入依赖评估器,利用频谱熵动态评估各变量的时空依赖,实现通道独立(CI)与通道依赖(CD)策略的自适应平衡。为区分其他变量带来的时序规律与内在动态,提出基于频谱熵的融合器进一步优化依赖权重。为保留负相关,设计带符号边权的图构造器,突破Softmax限制。为帮助变量感知时序位置,引入上下文空间提取器,通过局部上下文窗口提取空间特征。在12个跨领域真实数据集上的实验表明,SEED表现优于现有方法,验证了其有效性与通用性。
原文摘要 · Abstract (English)
Effective multivariate time series forecasting often benefits from accurately modeling complex inter-variable dependencies. However, existing attention- or graph-based methods face three key issues: (a) strong temporal self-dependencies are often disrupted by irrelevant variables; (b) softmax normalization ignores and reverses negative correlations; (c) variables struggle to perceive their temporal positions. To address these, we propose \textbf{SEED}, a Spectral Entropy-guided Evaluation framework for spatial-temporal Dependency modeling. SEED introduces a Dependency Evaluator, a key innovation that leverages spectral entropy to dynamically provide a preliminary evaluation of the spatial and temporal dependencies of each variable, enabling the model to adaptively balance Channel Independence (CI) and Channel Dependence (CD) strategies. To account for temporal regularities originating from the influence of other variables rather than intrinsic dynamics, we propose Spectral Entropy-based Fuser to further refine the evaluated dependency weights, effectively separating this part. Moreover, to preserve negative correlations, we introduce a Signed Graph Constructor that enables signed edge weights, overcoming the limitations of softmax. Finally, to help variables perceive their temporal positions and thereby construct more comprehensive spatial features, we introduce the Context Spatial Extractor, which leverages local contextual windows to extract spatial features. Extensive experiments on 12 real-world datasets from various application domains demonstrate that SEED achieves state-of-the-art performance, validating its effectiveness and generality.
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