Not Only Pairwise Relationships: Fine-Grained Relational Modeling for Multivariate Time Series Forecasting

Abstract

Recent graph-based methods achieve significant success in multivariate time series modeling and forecasting due to their ability to handle relationships among time series variables. However, only pairwise relationships are considered in most existing works. They ignore beyond-pairwise relationships and their potential categories in practical scenarios, which leads to incomprehensive relationship learning for multivariate time series forecasting. In this paper, we present ReMo, a Relational Modeling-based method, to promote fine-grained relational learning among multivariate time series data. Firstly, by treating time series variables and complex relationships as nodes and hyperedges, we extract multi-view hypergraphs from data to capture beyond-pairwise relationships. Secondly, a novel hypergraph message passing strategy is designed to characterize both nodes and hyperedges by inferring the potential categories of relationships and further distinguishing their impacts on time series variables. By integrating these two modules into the time series forecasting framework, ReMo effectively improves the performance of multivariate time series forecasting. The experimental results on seven commonly used datasets from different domains demonstrate the superiority of our model.