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Dual-stage time series analysis on multifeature adaptive frequency domain modeling

文献类型： 外文期刊

作者： Liu, Hui 1 ; Lin, Yuxiu 1 ; Liu, Xin 1 ; Zhao, Jia 2 ; Ruan, Huaijun 2 ;

作者机构： 1.Shandong Univ Finance & Econ, Dept Comp Sci & Technol, Jinan, Shandong, Peoples R China

2.Shandong Key Lab Digital Media Technol, Jinan, Shandong, Peoples R China

3.Shandong Acad Agr Sci, S&T Informat Inst, Jinan, Shandong, Peoples R China

关键词： adaptive modeling; multifrequency pattern; time series prediction; XGBoost

期刊名称：INTERNATIONAL JOURNAL OF INTELLIGENT SYSTEMS （ 影响因子：8.993； 五年影响因子：8.926 ）

ISSN： 0884-8173

年卷期：

页码：

收录情况： SCI

摘要： Time series research in academic and industrial fields has attracted wide attention. However, the frequency information contained in time series still lacks effective modeling. The studies found that time series forecasting relies on different frequency patterns: short-term series forecasting relies more on high-frequency components, while long-term forecasting focuses more on low-frequency data. To better describe the multifrequency mode, a dual-stage multifeature adaptive frequency domain prediction model (DMAFD) is proposed in this paper. DMAFD contains two stages. First, it adopts the XGBoost algorithm to obtain a feature vector by analyzing the feature importance. Second, the frequency feature extraction of time series and the frequency aware modeling of the target sequence is integrated, for building an end-to-end prediction network based on the dependence of time series on frequency mode. The innovation is reflected in the fact that the prediction network can automatically focus on multifrequency components according to the dynamic evolution of the input sequence. Extensive experiments on four real data sets from different fields show that DMAFD obtains higher accuracy and smaller lags in time step analysis compared with state-of-the-art algorithms.

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