Cross-LKTCN: Modern Convolution Utilizing Cross-Variable Dependency for
  Multivariate Time Series Forecasting Dependency for Multivariate Time Series
  Forecasting
Donghao Luo Xue Wang
The past few years have witnessed the rapid development in multivariate time
series forecasting. The key to accurate forecasting results is capturing the
long-term dependency between each time step (cross-time dependency) and
modeling the complex dependency between each variable (cross-variable
dependency) in multivariate time series. However, recent methods mainly focus
on the cross-time dependency but seldom consider the cross-variable dependency.
To fill this gap, we find that convolution, a traditional technique but
recently losing steam in time series forecasting, meets the needs of
respectively capturing the cross-time and cross-variable dependency. Based on
this finding, we propose a modern pure convolution structure, namely
Cross-LKTCN, to better utilize both cross-time and cross-variable dependency
for time series forecasting. Specifically in each Cross-LKTCN block, a
depth-wise large kernel convolution with large receptive field is proposed to
capture cross-time dependency, and then two successive point-wise group
convolution feed forward networks are proposed to capture cross-variable
dependency. Experimental results on real-world benchmarks show that Cross-LKTCN
achieves state-of-the-art forecasting performance and improves the forecasting
accuracy significantly compared with existing convolutional-based models and
cross-variable methods.