Multivariate Time Series Forecasting Using Multiscale Recurrent Networks With Scale Attention and Cross-Scale Guidance

Multivariate time series (MTS) forecasting is considered as a challenging task due to complex and nonlinear interdependencies between time steps and series. With the advance of deep learning, significant efforts have been made to model long-term and short-term temporal patterns hidden in historical information by recurrent neural networks (RNNs) with a temporal attention mechanism. Although various forecasting models have been developed, most of them are single-scale oriented, resulting in scale information loss. In this article, we seamlessly integrate multiscale analysis into deep learning frameworks to build scale-aware recurrent networks and propose two multiscale recurrent network (MRN) models for MTS forecasting. The first model called MRN-SA adopts a scale attention mechanism to dynamically select the most relevant information from different scales and simultaneously employs input attention and temporal attention to make predictions. The second one named as MRN-CSG introduces a novel cross-scale guidance mechanism to exploit the information from coarse scale to guide the decoding process at fine scale, which results in a lightweight and more easily trained model without obvious loss of accuracy. Extensive experimental results demonstrate that both MRN-SA and MRN-CSG can achieve state-of-the-art performance on five typical MTS datasets in different domains. The source codes will be publicly available at https://github.com/qguo2010/MRN.