Weakly Guided Adaptation for Robust Time Series Forecasting

  • Yunyao Cheng
  • , Peng Chen
  • , Chenjuan Guo*
  • , Kai Zhao
  • , Qingsong Wen
  • , Bin Yang
  • , Christian S. Jensen
  • *Corresponding author for this work

Research output: Contribution to journalConference articlepeer-review

23 Scopus citations

Abstract

Robust multivariate time series forecasting is crucial in many cyberphysical and Internet of Things applications. Existing state-of-the-art robust forecasting models decompose time series into independent functions covering trends and periodicities. However, these independent functions fail to capture correlations among multiple time series, thereby reducing prediction accuracy. Moreover, existing robust forecasting models treat certain abrupt but normal changes, e.g., caused by holidays, as outliers because they occur infrequently and have data distributions that resemble those of outliers. This exacerbates model bias and reduces prediction accuracy. This paper aims to capture correlations across multiple time series and abrupt but normal changes, thereby improving prediction accuracy. We employ weak labels to partition the dataset into source and target domains. Then, we propose the Domain Adversarial Robust Forecaster (DARF). This forecasting model is based on adversarial domain adaptation and includes two novel modules: Correlated Robust Forecaster (CORF) and Domain Critic. Specifically, CORF constitutes an encoder-decoder framework proficient at robust multivariate time series forecasting, and Domain Critic works to reduce data bias. Extensive experiments and discussions show that DARF is capable of state-of-the-art forecasting accuracy.

Original languageEnglish
Pages (from-to)666-679
Number of pages14
JournalProceedings of the VLDB Endowment
Volume17
Issue number4
DOIs
StatePublished - 2023
Event50th International Conference on Very Large Data Bases, VLDB 2024 - Guangzhou, China
Duration: 24 Aug 202429 Aug 2024

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