arXiv:2601.19022cs.LGcs.AI2026-01被引 2

针对罕见事件时间序列预测,提出高效精准的尾部风险建模方法

EVEREST: An Evidential, Tail-Aware Transformer for Rare-Event Time-Series Forecasting

  • 用可学习注意力瓶颈融合时序动态,实现软聚合
  • 在24/48/72小时预测中达到0.973/0.970/0.966的TSS得分
  • 适合工业监控、空间天气等高风险场景应用

多变量时间序列中的罕见事件预测因类别严重失衡、长程依赖和分布不确定性而极具挑战。我们提出EVEREST,一种基于Transformer的概率性罕见事件预测架构,能输出校准的预测结果并实现尾部风险感知,同时通过注意力信号归因提供辅助可解释性。EVEREST集成四个模块:(i) 可学习注意力瓶颈用于时序动态的软聚合;(ii) 证据头利用正态-逆伽马分布估计认知与偶然不确定性;(iii) 极值头使用广义帕累托分布建模尾部风险;(iv) 轻量级先兆头实现早期事件检测。这些模块通过复合损失(焦点损失、证据负对数似然、尾部敏感的极值理论惩罚)联合优化,仅在训练阶段生效;部署时仅使用单一分类头,无推理开销(约0.81M参数)。在十年空间天气数据上,对C级耀斑的24/48/72小时预测达到0.973/0.970/0.966的最优真技能统计(TSS)。模型紧凑,可在消费级硬件高效训练,适用于工业监控、气象及卫星诊断等高风险领域。局限包括对固定长度输入的依赖及未包含图像模态,未来可拓展至流式与多模态预测。

原文摘要 · Abstract (English)

Forecasting rare events in multivariate time-series data is challenging due to severe class imbalance, long-range dependencies, and distributional uncertainty. We introduce EVEREST, a transformer-based architecture for probabilistic rare-event forecasting that delivers calibrated predictions and tail-aware risk estimation, with auxiliary interpretability via attention-based signal attribution. EVEREST integrates four components: (i) a learnable attention bottleneck for soft aggregation of temporal dynamics; (ii) an evidential head for estimating aleatoric and epistemic uncertainty via a Normal--Inverse--Gamma distribution; (iii) an extreme-value head that models tail risk using a Generalized Pareto Distribution; and (iv) a lightweight precursor head for early-event detection. These modules are jointly optimized with a composite loss (focal loss, evidential NLL, and a tail-sensitive EVT penalty) and act only at training time; deployment uses a single classification head with no inference overhead (approximately 0.81M parameters). On a decade of space-weather data, EVEREST achieves state-of-the-art True Skill Statistic (TSS) of 0.973/0.970/0.966 at 24/48/72-hour horizons for C-class flares. The model is compact, efficient to train on commodity hardware, and applicable to high-stakes domains such as industrial monitoring, weather, and satellite diagnostics. Limitations include reliance on fixed-length inputs and exclusion of image-based modalities, motivating future extensions to streaming and multimodal forecasting.

时间序列罕见事件尾部风险Transformer

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