用拓扑方法评估时间序列预测的结构保真度,发现传统误差指标忽略的相位偏移问题。
TopoCast: A Topological Fidelity Framework for Evaluating Transformer-Based Time Series Forecasting

- 通过延时嵌入与持续同调分析预测与真实序列的动态结构
- 提出拓扑保真度分数(TFS)和定位拓扑保真度(LTFS)新指标
- 适用于关注预测信号结构质量的模型开发者与研究者
基于深度学习的时间序列预测虽性能优异,但评估仍依赖均方误差等点对点指标,仅衡量数值准确性,忽视预测信号的结构性质,如周期性、振荡行为和相位对齐。这导致过平滑、相位偏移或频率失真的预测结果可能获得良好误差评分,却存在显著结构退化。为此,本文提出TopoCast框架,利用Takens延时嵌入重构预测与真实序列的相空间,并通过持续同调刻画其内在动态。从持久图中推导出四个互补的拓扑保真度度量,并聚合为拓扑保真度分数(TFS)。进一步引入主导循环重叠,将拓扑特征映射到时域,评估主要振荡模式是否出现在正确时间点。结合TFS形成定位拓扑保真度分数(LTFS),可捕捉现有指标无法察觉的时序定位误差。在五个Transformer架构及三个真实世界基准数据集上的实验表明,具有相似预测误差的模型在结构保真度上表现迥异,揭示了传统评估遗漏的失败模式,凸显拓扑感知评估的价值。
原文摘要 · Abstract (English)
Deep learning-based models have achieved state-of-the-art performance in Time Series Forecasting (TSF), yet their evaluation remains dominated by pointwise error metrics such as Mean Squared Error (MSE), which quantify numerical accuracy but overlook structural properties of the forecast signal, including recurrent dynamics, oscillatory behavior, and phase alignment. As a result, forecasts exhibiting over-smoothing, phase shifts, or frequency distortions may achieve favorable error scores despite substantial structural degradation. To address this limitation, we propose TopoCast, a topology-driven framework for evaluating structural fidelity in TSF. TopoCast reconstructs phase-space representations of forecast and ground-truth sequences using Takens delay embedding and applies persistent homology to characterize their intrinsic dynamics. We derive four complementary topological fidelity measures from persistence diagrams and aggregate them into a Topological Fidelity Score (TFS). We further introduce dominant cycle overlap, a novel metric that maps persistent topological features to the temporal domain to assess whether dominant oscillatory patterns occur at the correct time points. Combined with TFS, this yields the Localized Topological Fidelity Score (LTFS), a phase-aware measure that captures temporal localization errors invisible to existing evaluation metrics. Experiments on five Transformer architectures across three real-world benchmark datasets demonstrate that models with similar forecasting errors can exhibit markedly different structural fidelity profiles, revealing failure modes overlooked by conventional evaluation and highlighting the value of topology-aware forecast assessment.
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