CrossGNN: Confronting Noisy Multivariate Time Series Via Cross Interaction Refinement

Recently, multivariate time series (MTS) forecasting techniques have seen rapid development and widespread applications across various fields. Transformer-based and GNN-based methods have shown promising potential due to their strong ability to model interaction of time and variables. However, by conducting a comprehensive analysis of the real-world data, we observe that the temporal fluctuations and heterogeneity between variables are not well handled by existing methods. To address the above issues, we propose CrossGNN, a linear complexity GNN model to refine the cross-scale and cross-variable interaction for MTS. To deal with the unexpected noise in time dimension, an adaptive multi-scale identifier (AMSI) is leveraged to construct multi-scale time series with reduced noise.