arXiv:2605.18534cs.LG2026-05被引 1

提出XCTFormer模型,显式建模时序与通道间的依赖关系,提升多变量时间序列分析性能。

XCTFormer: Leveraging Cross-Channel and Cross-Time Dependencies for Enhanced Time-Series Analysis

论文配图:XCTFormer: Leveraging Cross-Channel and Cross-Time Dependencies for Enhanced Time-Series Analysis
图 1 · 摘自论文原文
  • 基于Transformer架构,通过增强注意力机制显式捕捉跨时间和跨通道依赖。
  • 在数据补全任务上,相比次优方法平均降低20.8%的MSE和15.3%的MAE。
  • 适合需要高精度补全、异常检测等任务的研究者和工业应用。

多变量时间序列分析旨在从多个相互关联变量的序列中提取有效表征,支持预测、补全和异常检测等任务。现实中,这些变量通常来自同一背景或潜在现象,暗示着跨时间和通道的隐含依赖关系,可被利用以提升性能。然而,现有研究表明,假设变量间无依赖的通道独立(CI)模型常优于显式建模依赖的通道依赖(CD)模型,表明当前CD模型未能充分挖掘其潜力,原因在于依赖关系建模方式存在局限。尽管近期有研究重新探索通道依赖建模,但多数采用间接策略,易遗漏关键依赖。为此,我们提出XCTFormer——一种基于Transformer的通道依赖模型,通过增强注意力机制显式捕获跨时序与跨通道依赖。该模型以标记对形式建模任意两个标记间的依赖关系。其结构包含:(i) 数据处理模块,(ii) 新型交叉关系注意力块(CRAB),提升表达能力与容量;(iii) 可选的依赖压缩插件(DeCoP),改善可扩展性。在三个时间序列基准上的大量实验表明,XCTFormer表现优异,尤其在补全任务上达到当前最优,平均优于次优方法20.8%(MSE)和15.3%(MAE)。

原文摘要 · Abstract (English)

Multivariate time-series analysis involves extracting informative representations from sequences of multiple interdependent variables, supporting tasks such as forecasting, imputation, and anomaly detection. In real-world scenarios, these variables are typically collected from a shared context or underlying phenomenon, suggesting the presence of latent dependencies across time and channels that can be leveraged to improve performance. However, recent findings show that channel-independent (CI) models, which assume no inter-variable dependencies, often outperform channel-dependent (CD) models that explicitly model such relationships. This surprising result indicates that current CD models may not fully exploit their potential due to limitations in how dependencies are captured. Recent studies have revisited channel dependence modeling with various approaches; however, these methods often employ indirect modeling strategies, which can lead to meaningful dependencies being overlooked. To address this issue, we introduce XCTFormer, a transformer-based channel-dependent (CD) model that explicitly captures cross-temporal and cross-channel dependencies via an enhanced attention mechanism. The model operates in a token-to-token fashion, modeling pairwise dependencies between every pair of tokens across time and channels. The architecture comprises (i) a data processing module, (ii) a novel Cross-Relational Attention Block (CRAB) that increases capacity and expressiveness, and (iii) an optional Dependency Compression Plugin (DeCoP) that improves scalability. Through extensive experiments on three time-series benchmarks, we show that XCTFormer achieves strong results compared to widely recognized baselines; in particular, it attains state-of-the-art performance on the imputation task, outperforming the second-best method by an average of 20.8% in MSE and 15.3% in MAE.

时间序列Transformer依赖建模补全

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