Battling the Non-stationarity in Time Series Forecasting via Test-time Adaptation

Deep Neural Networks have spearheaded remarkable advancements in time series forecasting (TSF), one of the major tasks in time series modeling. Nonetheless, the non-stationarity of time series undermines the reliability of pre-trained source time series forecasters in mission-critical deployment settings. In this study, we introduce a pioneering test-time adaptation framework tailored for TSF (TSF-TTA). TAFAS, the proposed approach to TSF-TTA, flexibly adapts source forecasters to continuously shifting test distributions while preserving the core semantic information learned during pre-training. The novel utilization of partially-observed ground truth and gated calibration module enables proactive, robust, and model-agnostic adaptation of source forecasters. Experiments on diverse benchmark datasets and cutting-edge architectures demonstrate the efficacy and generality of TAFAS, especially in long-term forecasting scenarios that suffer from significant distribution shifts. The code is available at https://github.com/kimanki/TAFAS.

Introducing Spectral Attention for Long-Range Dependency in Time Series Forecasting

Sequence modeling faces challenges in capturing long-range dependencies across diverse tasks. Recent linear and transformer-based forecasters have shown superior performance in time series forecasting. However, they are constrained by their inherent inability to effectively address long-range dependencies in time series data, primarily due to using fixed-size inputs for prediction. Furthermore, they typically sacrifice essential temporal correlation among consecutive training samples by shuffling them into mini-batches. To overcome these limitations, we introduce a fast and effective Spectral Attention mechanism, which preserves temporal correlations among samples and facilitates the handling of long-range information while maintaining the base model structure. Spectral Attention preserves long-period trends through a low-pass filter and facilitates gradient to flow between samples. Spectral Attention can be seamlessly integrated into most sequence models, allowing models with fixed-sized look-back windows to capture long-range dependencies over thousands of steps. Through extensive experiments on 11 real-world time series datasets using 7 recent forecasting models, we consistently demonstrate the efficacy of our Spectral Attention mechanism, achieving state-of-the-art results.