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arXiv · 2405.10877

WEITS: A Wavelet-enhanced residual framework for interpretable time series forecasting

Ziyou Guo·Yan Sun·Tieru Wu
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Abstract

Time series (TS) forecasting has been an unprecedentedly popular problem in recent years, with ubiquitous applications in both scientific and business fields. Various approaches have been introduced to time series analysis, including both statistical approaches and deep neural networks. Although neural network approaches have illustrated stronger ability of representation than statistical methods, they struggle to provide sufficient interpretablility, and can be too complicated to optimize. In this paper, we present WEITS, a frequency-aware deep learning framework that is highly interpretable and computationally efficient. Through multi-level wavelet decomposition, WEITS novelly infuses frequency analysis into a highly deep learning framework. Combined with a forward-backward residual architecture, it enjoys both high representation capability and statistical interpretability. Extensive experiments on real-world datasets have demonstrated competitive performance of our model, along with its additional advantage of high computation efficiency. Furthermore, WEITS provides a general framework that can always seamlessly integrate with state-of-the-art approaches for time series forecast.

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Ziyou Guo, Yan Sun, Tieru Wu. 2024-05-17. WEITS: A Wavelet-enhanced residual framework for interpretable time series forecasting. https://arxiv.org/abs/2405.10877

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