Long-term Forecasting with TiDE: Time-series Dense Encoder. (arXiv:2304.08424v3 [stat.ML] UPDATED)

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 for
linear dynamical systems (LDS) …

arxiv decoder encoder encoder-decoder forecasting linear long-term mlp perceptron series simple simplicity speed transformer work