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arXiv 2603.08032cs.LGcs.AI
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GCGNet:用于带有外生变量的时间序列预测的图一致生成网络

GCGNet: Graph-Consistent Generative Network for Time Series Forecasting with Exogenous Variables

East China Normal University(华东师范大学)

Zhengyu Li, Xiangfei Qiu, Yuhan Zhu, Xingjian Wu, Jilin Hu, Chenjuan Guo, Bin Yang

AI总结:

GCGNet通过图结构对齐和图细化方法,提升时间序列预测中外生变量与内生变量的联合相关性建模能力,实验证明其在12个真实数据集上优于现有方法。

摘要:

外生变量为预测未来内生变量提供了有价值的信息。利用外生变量进行预测需要考虑从过去到未来依赖关系(即时间相关性)以及外生变量对内生变量的影响(即通道相关性)。当未来外生变量可用时,这尤为重要,因为它们可能直接影响未来内生变量。许多方法已提出用于带有外生变量的时间序列预测,专注于建模时间和通道相关性。然而,大多数方法采用两步策略,分别建模时间和通道相关性,这限制了它们捕捉时间和通道之间联合相关性的能力。此外,在现实场景中,时间序列常受各种噪声影响,突显了相关性建模的鲁棒性至关重要。为了解决这些限制,我们提出了GCGNet,一种用于带有外生变量的时间序列预测的图一致生成网络。具体而言,GCGNet首先使用变分生成器生成粗略预测。图结构对齐器随后通过评估生成和真实相关性之间的一致性来引导它,其中相关性表示为图,并且对噪声具有鲁棒性。最后,提出图细化器以细化预测以防止退化并提高准确性。在12个真实数据集上的广泛实验表明,GCGNet优于现有最先进基线。

英文摘要:

Exogenous variables offer valuable supplementary information for predicting future endogenous variables. Forecasting with exogenous variables needs to consider both past-to-future dependencies (i.e., temporal correlations) and the influence of exogenous variables on endogenous variables (i.e., channel correlations). This is pivotal when future exogenous variables are available, because they may directly affect the future endogenous variables. Many methods have been proposed for time series forecasting with exogenous variables, focusing on modeling temporal and channel correlations. However, most of them use a two-step strategy, modeling temporal and channel correlations separately, which limits their ability to capture joint correlations across time and channels. Furthermore, in real-world scenarios, time series are frequently affected by various forms of noises, underscoring the critical importance of robustness in such correlations modeling. To address these limitations, we propose GCGNet, a Graph-Consistent Generative Network for time series forecasting with exogenous variables. Specifically, GCGNet first employs a Variational Generator to produce coarse predictions. A Graph Structure Aligner then further guides it by evaluating the consistency between the generated and true correlations, where the correlations are represented as graphs, and are robust to noises. Finally, a Graph Refiner is proposed to refine the predictions to prevent degeneration and improve accuracy. Extensive experiments on 12 real-world datasets demonstrate that GCGNet outperforms state-of-the-art baselines.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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