SutraNets: Sub-series Autoregressive Networks for Long-Sequence, Probabilistic Forecasting

We propose SutraNets, a novel method for neural probabilistic forecasting of long-sequence time series. When generating long sequences, most autoregressive approaches suffer from harmful error accumulation, as well as challenges in modeling long-distance dependencies. SutraNets treat long, univariate prediction as multivariate prediction over lower-frequency sub-series. Autoregression proceeds across time and across sub-series in order to ensure coherent multivariate (and, hence, high-frequency univariate) outputs. Since sub-series can be generated using fewer steps, SutraNets effectively reduce error accumulation and signal path distances.