Partial Correlation-Based Attention for Multivariate Time Series Forecasting
Won Kyung Lee · Proceedings of the AAAI Conference on Artificial Intelligence · 2020
A multivariate time-series forecasting has great potentials in various domains. However, it is challenging to find dependency structure among the time-series variables and appropriate time-lags for each variable, which change dynamically over time. In this study, I suggest partial correlation-based attention mechanism which overcomes the shortcomings of existing pair-wise comparisons-based attention mechanisms. Moreover, I propose data-driven series-wise multi-resolution convolutional layers to represent the input time-series data for domain agnostic learning.