Time Series Forecasting Made Easy with TSMixer
Time series forecasting is crucial for various applications, from predicting demand to tracking the spread of a pandemic. In this field, there are two types of models: univariate models and multivariate models. Univariate models focus on trends and seasonal patterns within a single variable, while multivariate models also consider the relationships between different variables.
Multivariate models have gained popularity due to their ability to handle cross-variate information. However, recent studies have shown that simple univariate linear models often outperform advanced multivariate models on long-term forecasting benchmarks. This raises the question: Can multivariate models perform as well as univariate models?
In a recent study, researchers developed a new multivariate model called TSMixer. This model combines the characteristics of linear models and deep learning Transformer-based architectures to achieve superior performance on long-term forecasting benchmarks. TSMixer is the first multivariate model that performs on par with state-of-the-art univariate models.
Unlike Transformers, which use attention mechanisms to capture temporal patterns, linear models apply fixed weights to capture static patterns. The researchers discovered that linear models have effective solutions for learning static temporal patterns, while finding similar solutions for attention mechanisms is more challenging.
The TSMixer architecture replaces Transformer attention layers with linear layers and alternates between time-mixing and feature-mixing. This allows TSMixer to efficiently capture both temporal patterns and cross-variate information. The model outperforms other multivariate models and achieves comparable results to univariate models on long-term forecasting benchmarks.
To validate the importance of cross-variate information, the researchers evaluated TSMixer on a real-world retail dataset called M5. This dataset contains complex cross-variate interactions and requires the use of multivariate models. TSMixer outperformed other methods and effectively leveraged cross-variate information to achieve the best performance.
The results of this study demonstrate that TSMixer is a powerful tool for time series forecasting. Its ability to combine linear model characteristics with deep learning techniques makes it a valuable asset in predicting future trends and patterns. Whether you’re forecasting sales, analyzing traffic patterns, or predicting the weather, TSMixer has you covered.