Multivariate time-series forecasting plays a crucial role in many real-world applications.

Multivariate time-series forecasting plays a crucial role in many real-world applications.

Multivariate time-series forecasting plays a crucial role in many real-world applications. It is a challenging problem as one needs to consider both intra-series temporal correlations and inter-series correlations simultaneously. Recently, there have been multiple works trying to capture both correlations, but most, if not all of them only capture temporal correlations in the time domain and resort to pre-defined priors as inter-series relationships. In this paper, we propose Spectral Temporal Graph Neural Network (StemGNN) to further improve the accuracy of multivariate time-series forecasting.

Multivariate time-series forecasting plays a crucial role in many real-world applications.

Multivariate time-series forecasting plays a crucial role in many real-world applications.

Summary and Contributions: This paper addresses the problem of multivariate time-series prediction. The premise of the problem is, given N possibly correlated time series, predict the next H time steps for each of the time series. The paper develops over existing methods by proposing a novel deep neural network based algorithm that simultaneously accounts for the "spatial" and temporal correlations. The proposed algorithm first constructs an adjacency matrix to capture the similarity between the different time series by using a self-attention based similarity measure. Post this, the data is passed through two "stemGNN" blocks, with each block as described below.

Four expert reviewers have recommended acceptance of the paper and I agree with them. However, the final version of the paper should reflect a request from Reviewer #4 to include specific empirical comparisons.

Multivariate time-series forecasting plays a crucial role in many real-world applications. It is a challenging problem as one needs to consider both intra-series temporal correlations and inter-series correlations simultaneously. Recently, there have been multiple works trying to capture both correlations, but most, if not all of them only capture temporal correlations in the time domain and resort to pre-defined priors as inter-series relationships. In this paper, we propose Spectral Temporal Graph Neural Network (StemGNN) to further improve the accuracy of multivariate time-series forecasting. It combines Graph Fourier Transform (GFT) which models inter-series correlations and Discrete Fourier Transform (DFT) which models temporal dependencies in an end-to-end framework.

In the realm of 5G communication systems, the accuracy of Channel State Information (CSI) prediction is vital for optimizing performance. This letter introduces a pioneering approach: the Spectral-Temporal Graph Neural Network (STEM GNN), which fuses spatial relationships and temporal dynamics of the wireless channel using the Graph Fourier Transform. We compare the STEM GNN approach with conventional Recurrent Neural Network (RNN) and Long Short-Term Memory (LSTM) models for CSI prediction. Our findings reveal a significant enhancement in overall communication system performance through STEM GNNs. For instance, in one scenario, STEM GNN achieves a sum rate of 5.009 bps/Hz which is $11.9\%$ higher than that of LSTM and $35\%$ higher than that of RNN. The spectral-temporal analysis capabilities of STEM GNNs capture intricate patterns often overlooked by traditional models, offering improvements in beamforming, interference mitigation, and ultra-reliable low-latency communication (URLLC).

Multivariate time-series forecasting plays a crucial role in many real-world applications. It is a challenging problem as one needs to consider both intra-series temporal correlations and inter-series correlations simultaneously. Recently, there have been multiple works trying to capture both correlations, but most, if not all of them only capture temporal correlations in the time domain and resort to pre-defined priors as inter-series relationships. In this paper, we propose Spectral Temporal Graph Neural Network (StemGNN) to further improve the accuracy of multivariate time-series forecasting. StemGNN captures inter-series correlations and temporal dependencies \textit{jointly} in the \textit{spectral domain}. It combines Graph Fourier Transform (GFT) which models inter-series correlations and Discrete Fourier Transform (DFT) which models temporal dependencies in an end-to-end framework. After passing through GFT and DFT, the spectral representations hold clear patterns and can be predicted effectively by convolution and sequential learning modules. Moreover, StemGNN learns inter-series correlations automatically from the data without using pre-defined priors. We conduct extensive experiments on ten real-world datasets to demonstrate the effectiveness of StemGNN. Code is available at https://github.com/microsoft/StemGNN/