time-series-forecasting

Tutorial repository for time series forecasting models(simplified version)

Some models are revised for multivariate time series forecasting

Autoregressive and transformer based

• seq2seq NeurIPS 2014 Sequence to Sequence Learning with Neural Network

• SQF-RNN AISTAT 2019 Probabilistic Forecasting with Spline Quantile Function RNNs

• TFT IJF 2019 Temporal Fusion Transformer for Interpretable Multi-horizon Time Series Forecasting (official code)

• PessTFT Pessimistic TFT model to forecast extreme events

• DeepAR IJF 2020 DeepAR: Probabilistic Forecasting with Autoregressive Recurrent Networks

• MQRNN NeurIPS 2017 A Multi-Horizon Quantile Recurrent Forecaster

• Autoformer NeurIPS 2021 Autoformer: Decomposition Transformer with Auto-Correlation for Long-Term Series Forecasting (official code)

• NeurIPS 2020 Normalizing Kalman Filters for Multivariate Time Series Analysis

• ICML 2020 Transformer Hawkes Process (official code)

• ICLR 2021 N-BEATS: Neural Bais Expansion Analysis for Interpretable Time Series Forecasting (official code)

• ECMLPKDD 2022 U-Net Inspired Transformer Architecture for Far Horizon Time Series Forecasting(official code)

Generative model based

• GP-Copula NeurIPS 2019 High-Dimensional Multivariate Forecasting with Low-Rank Gaussian Copula Processes

• ProTran NeurIPS 2021 Probabilistic Transformer for Time Series Analysis

• ProTran_v2 ProTran model which contains known future inputs

• AAAI 2021 Temporal Latent Auto-Encoder: A Method for Probabilistic Multivariate Time Series Forecasting

• ICLR 2021 Multivariate Probabilistic Time Series Forecasting Via Conditioned Normalizing Flows

• ICML 2021 Autoregressive Denoising Diffusion Models for Multivariate Probabilistic Time Series Forecasting (official code)

Spatial temporal time-serise forecasting

• KDD 2022 Pre-training Enhanced Spatial-temporal Graph Neural Network for Multivariate Time Series Forecasting (official code)

• CIKM 2022 Adaptive Graph Spatial-Temporal Transformer Network for Traffic Forecasting

• ICLR 2022 Learning to Remember Patterns: Pattern Matching Memory Networks for Traffic Forecasting (official code)

Calibration

• ICML 2018 Accurate Uncertainties for Deep Learning Using Calibrated Regression
• ICML 2022 Calibrated and Sharp Uncertainties in Deep Learning via Density Estimation