Temporal Latent Auto-Encoder: A Method for Probabilistic Multivariate Time Series Forecasting

No. 10: AAAI-21 Technical Tracks 10

Volume

Proceedings of the AAAI Conference on Artificial Intelligence, 35

AAAI Technical Track on Machine Learning III

Probabilistic forecasting of high dimensional multivariate time series is a notoriously challenging task, both in terms of computational burden and distribution modeling. Most previous work either makes simple distribution assumptions or abandons modeling cross-series correlations. A promising line of work exploits scalable matrix factorization for latent-space forecasting, but is limited to linear embeddings, unable to model distributions, and not trainable end-to-end when using deep learning forecasting. We introduce a novel temporal latent auto-encoder method which enables nonlinear factorization of multivariate time series, learned end-to-end with a temporal deep learning latent space forecast model. By imposing a probabilistic latent space model, complex distributions of the input series are modeled via the decoder. Extensive experiments demonstrate that our model achieves state-of-the-art performance on many popular multivariate datasets, with gains sometimes as high as 50% for several standard metrics.

10.1609/aaai.v35i10.17101