Block hankel tensor ARIMA for multiple short time series forecasting

Qiquan Shi, Jiaming Yin, Jiajun Cai, Andrzej Cichocki, Tatsuya Yokota, Lei Chen, Mingxuan Yuan, Jia Zeng

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

24 Citations (Scopus)

Abstract

This work proposes a novel approach for multiple time series forecasting. At first, multi-way delay embedding transform (MDT) is employed to represent time series as low-rank block Hankel tensors (BHT). Then, the higher-order tensors are projected to compressed core tensors by applying Tucker decomposition. At the same time, the generalized tensor Autoregressive Integrated Moving Average (ARIMA) is explicitly used on consecutive core tensors to predict future samples. In this manner, the proposed approach tactically incorporates the unique advantages of MDT tensorization (to exploit mutual correlations) and tensor ARIMA coupled with low-rank Tucker decomposition into a unified framework. This framework exploits the low-rank structure of block Hankel tensors in the embedded space and captures the intrinsic correlations among multiple TS, which thus can improve the forecasting results, especially for multiple short time series. Experiments conducted on three public datasets and two industrial datasets verify that the proposed BHT-ARIMA effectively improves forecasting accuracy and reduces computational cost compared with the state-of-the-art methods.

Original languageEnglish
Title of host publicationAAAI 2020 - 34th AAAI Conference on Artificial Intelligence
PublisherAAAI press
Pages5758-5766
Number of pages9
ISBN (Electronic)9781577358350
Publication statusPublished - 2020
Externally publishedYes
Event34th AAAI Conference on Artificial Intelligence, AAAI 2020 - New York, United States
Duration: 7 Feb 202012 Feb 2020

Publication series

NameAAAI 2020 - 34th AAAI Conference on Artificial Intelligence

Conference

Conference34th AAAI Conference on Artificial Intelligence, AAAI 2020
Country/TerritoryUnited States
CityNew York
Period7/02/2012/02/20

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