Introducing Spectral Attention for Long-Range Dependency in Time Series Forecasting

Sequence modeling faces challenges in capturing long-range dependencies across diverse tasks. Recent linear and transformer-based forecasters have shown superior performance in time series forecasting. However, they are constrained by their inherent inability to effectively address long-range dependencies in time series data, primarily due to using fixed-size inputs for prediction. Furthermore, they typically sacrifice essential temporal correlation among consecutive training samples by shuffling them into mini-batches. To overcome these limitations, we introduce a fast and effective Spectral Attention mechanism, which preserves temporal correlations among samples and facilitates the handling of long-range information while maintaining the base model structure. Spectral Attention preserves long-period trends through a low-pass filter and facilitates gradient to flow between samples.