针对多变量时间序列预测,分离主变量与外生变量建模,提升预测精度。
DA-SPS: A Dual-stage Network based on Singular Spectrum Analysis, Patching-strategy and Spearman-correlation for Multivariate Time-series Prediction
- 分两阶段处理:主变量用SSA分解+LSTM与补丁策略提取趋势/周期特征
- 外生变量通过斯皮尔曼相关性筛选,并用注意力机制分析关键影响因素
- 在4个公开数据集和自研主板测试数据上均超越现有方法,适合工业时序场景
多变量时间序列预测广泛应用于天气预报、交通流量预测等场景。现有方法未充分考虑外生变量对目标变量的影响,且难以有效提取序列中复杂的时间模式。为此,本文提出一种双阶段模型DA-SPS,包含目标变量处理阶段(TVPS)与外生变量处理阶段(EVPS)。TVPS中,先用奇异谱分析(SSA)处理目标序列,再分别采用LSTM与带补丁策略的P-Conv-LSTM提取趋势与季节性成分特征;EVPS中,基于斯皮尔曼相关性筛选与目标变量强相关的外生变量,并通过融合LSTM与注意力机制的L-Attention模块进行分析。最终通过加权求和与线性映射融合两阶段结果。在四个公开数据集上的实验表明,该模型优于当前先进方法;在自研的笔记本主板测试数据集上进一步验证了其在真实场景中的有效性。
原文摘要 · Abstract (English)
Multivariate time-series forecasting, as a typical problem in the field of time series prediction, has a wide range of applications in weather forecasting, traffic flow prediction, and other scenarios. However, existing works do not effectively consider the impact of extraneous variables on the prediction of the target variable. On the other hand, they fail to fully extract complex sequence information based on various time patterns of the sequences. To address these drawbacks, we propose a DA-SPS model, which adopts different modules for feature extraction based on the information characteristics of different variables. DA-SPS mainly consists of two stages: the target variable processing stage (TVPS) and the extraneous variables processing stage (EVPS). In TVPS, the model first uses Singular Spectrum Analysis (SSA) to process the target variable sequence and then uses Long Short-Term Memory (LSTM) and P-Conv-LSTM which deploys a patching strategy to extract features from trend and seasonality components, respectively. In EVPS, the model filters extraneous variables that have a strong correlation with the target variate by using Spearman correlation analysis and further analyses them using the L-Attention module which consists of LSTM and attention mechanism. Finally, the results obtained by TVPS and EVPS are combined through weighted summation and linear mapping to produce the final prediction. The results on four public datasets demonstrate that the DA-SPS model outperforms existing state-of-the-art methods. Additionally, its performance in real-world scenarios is further validated using a private dataset collected by ourselves, which contains the test items' information on laptop motherboards.
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