Exploring Progress in Multivariate Time Series Forecasting: Comprehensive Benchmarking and Heterogeneity Analysis

Multivariate Time Series (MTS) analysis is crucial to understanding and managing complex systems, such as traffic and energy systems, and a variety of approaches to MTS forecasting have been proposed recently. However, we often observe inconsistent or seemingly contradictory performance findings across different studies. This hinders our understanding of the merits of different approaches and slows down progress. We address the need for means of assessing MTS forecasting proposals reliably and fairly, in turn enabling better exploitation of MTS as seen in different applications. Specifically, we first propose BasicTS+, a benchmark designed to enable fair, comprehensive, and reproducible comparison of MTS…

• NN
  National Natural Science Foundation of China

  Awards: 62476264, 62206266, 62472405, 62372430
• YI
  Youth Innovation Promotion Association