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A Time Series is Worth 64 Words: Long-term Forecasting with Transformers

2022/11/27 by Yuqi Nie, Nie, Yuqi, Nam Hoai Nguyen +5 · 600 citations
Computer Science · Decision Sciences · #Anomaly Detection Techniques and Applications #Artificial Intelligence (cs.AI) #FOS: Computer and information sciences #Machine Learning (cs.LG) #Stock Market Forecasting Methods #Time Series Analysis and Forecasting

paper · pdf · doi:10.48550/arxiv.2211.14730

openalex publication_date 2022/11/27 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/31

Abstract

We propose an efficient design of Transformer-based models for multivariate time series forecasting and self-supervised representation learning. It is based on two key components: (i) segmentation of time series into subseries-level patches which are served as input tokens to Transformer; (ii) channel-independence where each channel contains a single univariate time series that shares the same embedding and Transformer weights across all the series. Patching design naturally has three-fold benefit: local semantic information is retained in the embedding; computation and memory usage of the attention maps are quadratically reduced given the same look-back window; and the model can attend longer history. Our channel-independent patch time series Transformer (PatchTST) can improve the long-term forecasting accuracy significantly when compared with that of SOTA Transformer-based models. We also apply our model to self-supervised pre-training tasks and attain excellent fine-tuning performance, which outperforms supervised training on large datasets. Transferring of masked pre-trained representation on one dataset to others also produces SOTA forecasting accuracy. Code is available at: https://github.com/yuqinie98/PatchTST.

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