Time-Series Prediction Based on Double Pyramid Bidirectional Feature Fusion Mechanism

Abstract

The application of time-series prediction is very extensive, and it is an important problem across many fields, such as stock prediction, sales prediction, and loan prediction and so on, which play a great value in production and life. It requires that the model can effectively capture the long-term feature dependence between the output and input. Recent studies show that Transformer can improve the prediction ability of time-series. However, Transformer has some problems that make it unable to be directly applied to time-series prediction, such as: (1) Local agnosticism: Self-attention in Transformer is not sensitive to short-term feature dependence, which leads to model anomalies in time-series; (2) Memory bottleneck: The spatial complexity of regular transformation increases twice with the sequence length, making direct modeling of long time-series infeasible. In order to solve these problems, this paper designs an efficient model for long time-series prediction. It is a double pyramid bidirectional feature fusion mechanism network with parallel Temporal Convolution Network (TCN) and FastFormer. This network structure can combine the time series fine-grained information captured by the Temporal Convolution Network with the global interactive information captured by FastFormer, it can well handle the time series prediction problem.