Long-term Forecasting with TiDE: Time-series Dense Encoder

arXiv:2304.08424v5 Announce Type: replace-cross
Abstract: Recent work has shown that simple linear models can outperform several Transformer based approaches in long term time-series forecasting. Motivated by this, we propose a Multi-layer Perceptron (MLP) based encoder-decoder model, Time-series Dense Encoder (TiDE), for long-term time-series forecasting that enjoys the simplicity and speed of linear models while also being able to handle covariates and non-linear dependencies. Theoretically, we prove that the simplest linear analogue of our model can achieve near optimal error rate …

abstract arxiv cs.lg decoder encoder encoder-decoder forecasting layer linear long-term mlp perceptron series simple simplicity speed stat.ml transformer type work