OLinear: A Linear Model for Time Series Forecasting in Orthogonally Transformed Domain

This paper presents $\mathbf{OLinear}$, a $\mathbf{linear}$-based multivariate time series forecasting model that operates in an $\mathbf{o}$rthogonally transformed domain. Recent forecasting models typically adopt the temporal forecast (TF) paradigm, which directly encode and decode time series in the time domain. However, the entangled step-wise dependencies in series data can hinder the performance of TF. To address this, some forecasters conduct encoding and decoding in the transformed domain using fixed, dataset-independent bases (e.g., sine and cosine signals in the Fourier transform). In contrast, we propose $\mathbf{OrthoTrans}$, a data-adaptive transformation based on an orthogonal matrix that diagonalizes the series' temporal Pearson correlation matrix.