arXiv:2606.17996cs.LGcs.AI2026-06

提出McWC模型,同时建模周期性、趋势与通道相关性,提升长期预测精度与效率。

Multiple cyclicity and Wavelet Decomposition with Channel Correlation for Long-term Time Series Forecasting

论文配图:Multiple cyclicity and Wavelet Decomposition with Channel Correlation for Long-term Time Series Forecasting
图 1 · 摘自论文原文
  • 分步建模周期性、趋势与通道间相关性,解耦多层时序特征。
  • 在6个真实数据集上达到领先性能,计算效率显著优于现有方法。
  • 适合需要高精度长序列预测的工业与金融场景。

周期性和趋势是时间序列数据的重要组成部分,基于这两者的许多研究已在长期时间序列预测中取得良好效果。然而,我们发现现有工作忽略了真实世界时间序列中通道间的实际相关性,导致预测性能受限。此外,这些模型依赖复杂设计捕捉多样化信息,造成计算效率低下。为解决此问题,我们提出McWC模型,分别建模周期性、趋势与通道间相关性。具体而言,McWC首先通过多层周期性构建模块从数据中解耦周期性信息;接着利用多层感知机提取通道间相关性;然后通过多级小波分解模块建模并融合数据中的多层高频与低频信息;最后聚合各组件结果得到输出。同时,通过在频域计算损失函数,解耦通道内自相关性。在六个真实数据集上的实验表明,McWC实现了顶尖性能,具备优异的计算效率和历史信息提取能力。

原文摘要 · Abstract (English)

Cyclicity and trend are important components of time series data and many studies based on cyclicity and trend have achieved good results in long-term time series forecasting. However, we believe that current work neglects the influence of real-world inter-channel correlations in time series data which leads to suboptimal predictions. Furthermore, these models rely on complex designs to capture diverse information so that resulting in low computational efficiency. To address this challenge, we propose McWC, a long-term time series forecasting model that separately models the cyclicity, trend, and inter-channel correlations. Specifically, McWC first decouples cyclical information from data using a multi-layer cyclicity construction module. Then, it extracts inter-channel correlations using multi-layer perceptron. Next, it models and fuses the multi-layer high-frequency and low-frequency information from data using a multi-level wavelet decomposition module. Finally, it aggregates the results of different components to obtain the output. Simultaneously, we decouple intra-channel autocorrelations by calculating a loss function in the frequency domain. Experiments on six real-world datasets demonstrate that McWC achieves state-of-the-art performance, exhibiting excellent computational efficiency and historical information extraction capabilities.

时间序列周期建模小波分解通道相关

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