Partial Correlation-Based Attention for Multivariate Time Series Forecasting

2020-06-02

Proceedings of the AAAI Conference on Artificial Intelligence, 34

Volume

Vol. 34 No. 10: Issue 10: AAAI-20 Student Tracks

Doctoral Consortium Track

A multivariate time-series forecasting has great potentials in various domains. However, it is challenging to find dependency structure among the time-series variables and appropriate time-lags for each variable, which change dynamically over time. In this study, I suggest partial correlation-based attention mechanism which overcomes the shortcomings of existing pair-wise comparisons-based attention mechanisms. Moreover, I propose data-driven series-wise multi-resolution convolutional layers to represent the input time-series data for domain agnostic learning.

10.1609/aaai.v34i10.7132