Experimental Study of Multivariate Time Series Forecasting Models

Abstract

Multivariate time series forecasting has wide applications such as traffic flow prediction, supermarket commodity demand forecasting and etc. In literature, Due to the complex temporal patterns and inter-dependencies among multivariate time series, a large number of forecasting models have been developed. However, one question still remains unclear: how these models perform on a certain forecasting task, and there is lack of comprehensive performance comparison of these models on different tasks. To this end, in this paper, we conduct a systematic evaluation of eight representative forecasting models over eight multivariate time series datasets, and have the following findings: 1) When the datasets exhibit strong periodic patterns, deep learning models perform best. Otherwise on the datasets in a non-periodic manner, the statistical models such as ARIMA perform best. 2) For the long term prediction involving a high horizon value, the direct prediction strategy could lead to lower errors than the recursive one, but at the cost of higher training time. 3) For the multivariate time series explicitly involving graphic inter-dependencies among the multivariates, e.g., the road network topology in the spatio-temporal time series of traffic volumes in multiple routes, the Graph Convolution Network can incorporate the graphic inter-dependencies into their forecasting models for smaller prediction errors.