Time Series is a Special Sequence: Forecasting with Sample Convolution and Interaction

17 Jun 2021  ·  Minhao Liu, Ailing Zeng, Zhijian Xu, Qiuxia Lai, Qiang Xu ·

Time series is a special type of sequence data, a set of observations collected at even time intervals and ordered chronologically. Existing deep learning techniques use generic sequence models (e.g., recurrent neural network, Transformer model, or temporal convolutional network) for time series analysis, which ignore some of its unique properties. In particular, three components characterize time series: trend, seasonality, and irregular components, and the former two components enable us to perform forecasting with reasonable accuracy. Other types of sequence data do not have such characteristics. Motivated by the above, in this paper, we propose a novel neural network architecture that conducts sample convolution and interaction for temporal modeling and apply it for the time series forecasting problem, namely \textbf{SCINet}. Compared to conventional dilated causal convolution architectures, the proposed downsample-convolve-interact architecture enables multi-resolution analysis besides expanding the receptive field of the convolution operation, which facilitates extracting temporal relation features with enhanced predictability. Experimental results show that SCINet achieves significant prediction accuracy improvement over existing solutions across various real-world time series forecasting datasets.

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Results from the Paper


Task Dataset Model Metric Name Metric Value Global Rank Result Benchmark
Univariate Time Series Forecasting Electricity SCINet (6 step) RRSE 0.0818 # 3
Univariate Time Series Forecasting Electricity SCINet (3 step) RRSE 0.0678 # 1
Univariate Time Series Forecasting Electricity SCINet (24 step) RRSE 0.0957 # 12
Univariate Time Series Forecasting Electricity SCINet (12 step) RRSE 0.0926 # 9
Time Series Forecasting ETTh1 (168) SCINet (Multivariate) MSE 0.497 # 8
MAE 0.491 # 7
Time Series Forecasting ETTh1 (168) SCINet (Univariate) MSE 0.075 # 2
MAE 0.215 # 2
Time Series Forecasting ETTh1 (24) SCINet (Multivariate) MSE 0.311 # 8
MAE 0.348 # 8
Time Series Forecasting ETTh1 (24) SCINet (Univariate) MSE 0.028 # 2
MAE 0.128 # 2
Time Series Forecasting ETTh1 (336) SCINet (Univariate) MSE 0.087 # 3
MAE 0.231 # 3
Time Series Forecasting ETTh1 (336) SCINet (Multivariate) MSE 0.491 # 11
MAE 0.494 # 10
Time Series Forecasting ETTh1 (48) SCINet (Univariate) MAE 0.171 # 3
Time Series Forecasting ETTh1 (48) SCINet (Multivariate) MSE 0.364 # 7
MAE 0.388 # 8
Time Series Forecasting ETTh1 (720) SCINet (Multivariate) MSE 0.612 # 11
MAE 0.582 # 11
Time Series Forecasting ETTh1 (720) SCINet (Univariate) MSE 0.156 # 4
MAE 0.316 # 4
Time Series Forecasting ETTh2 (168) SCINet (Univariate) MSE 0.156 # 1
MAE 0.312 # 1
Time Series Forecasting ETTh2 (168) SCINet (Multivariate) MSE 0.528 # 6
MAE 0.509 # 6
Time Series Forecasting ETTh2 (24) SCINet (Univariate) MSE 0.068 # 2
MAE 0.189 # 1
Time Series Forecasting ETTh2 (24) SCINet (Multivariate) MSE 0.183 # 7
MAE 0.271 # 7
Time Series Forecasting ETTh2 (336) SCINet (Multivariate) MSE 0.648 # 9
MAE 0.608 # 9
Time Series Forecasting ETTh2 (336) SCINet (Univariate) MSE 0.173 # 1
MAE 0.338 # 1
Time Series Forecasting ETTh2 (48) SCINet (Multivariate) MSE 0.259 # 7
MAE 0.341 # 7
Time Series Forecasting ETTh2 (48) SCINet (Univariate) MSE 0.089 # 1
MAE 0.227 # 1
Time Series Forecasting ETTh2 (720) SCINet (Multivariate) MSE 1.074 # 10
MAE 0.761 # 10
Time Series Forecasting ETTh2 (720) SCINet (Univariate) MSE 0.249 # 4
MAE 0.399 # 4
Traffic Prediction PeMS04 SCINet 12 Steps MAE 19.02 # 1
Time Series Forecasting PeMSD4 SCINet 12 Steps MAE 19.02 # 1
Time Series Forecasting PeMSD7 SCINet 12 Steps MAE 21.59 # 1
Univariate Time Series Forecasting Solar-Power SCINet (3 steps) RRSE 0.1609 # 1
Univariate Time Series Forecasting Solar-Power SCINet (12 steps) RRSE 0.2878 # 3
Univariate Time Series Forecasting Solar-Power SCINet (24 steps) RRSE 0.4032 # 4
Univariate Time Series Forecasting Solar-Power SCINet (6 steps) RRSE 0.2194 # 2

Methods