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Poster

CATS: Enhancing Multivariate Time Series Forecasting by Constructing Auxiliary Time Series as Exogenous Variables

Jiecheng Lu · Xu Han · Sun · Shihao Yang

Hall C 4-9 #207
[ ] [ Paper PDF ]
[ Poster
Wed 24 Jul 4:30 a.m. PDT — 6 a.m. PDT

Abstract:

For Multivariate Time Series Forecasting (MTSF), recent deep learning applications show that univariate models frequently outperform multivariate ones. To address the deficiency in multivariate models, we introduce a method to Construct Auxiliary Time Series (CATS) that functions like a 2D temporal-contextual attention mechanism, which generates Auxiliary Time Series (ATS) from Original Time Series (OTS) to effectively represent and incorporate inter-series relationships for forecasting. Key principles of ATS—continuity, sparsity, and variability—are identified and implemented through different modules. Even with a basic 2-layer MLP as the core predictor, CATS achieves state-of-the-art, significantly reducing complexity and parameters compared to previous multivariate models, marking it as an efficient and transferable MTSF solution.

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