Deep models have demonstrated remarkable performance in time series forecasting.

ABSTRACT A variety of models have been developed to forecast dengue cases to date. However, it remains a challenge to predict major dengue outbreaks that need timely public warnings the most. In this paper, we introduce CrossLag, an environmentally informed attention that allows for the incorporation of lagging endogenous signals behind the significant events in the exogenous data into the architecture of the transformer at low parameter counts. We use TimeXer, a recent general-purpose transformer distinguishing exogenous-endogenous inputs, as the baseline for this study. Our proposed model outperforms TimeXer by a considerable margin in detecting and predicting major outbreaks in Singapore dengue data over a 24-week prediction window.

Recent studies have demonstrated remarkable performance in time series forecasting. However, due to the partially-observed nature of real-world applications, solely focusing on the target of interest, so-called endogenous variables, is usually insufficient to guarantee accurate forecasting. Notably, a system is often recorded into multiple variables, where the exogenous series can provide valuable external information for endogenous variables. Thus, unlike prior well-established multivariate or univariate forecasting that either treats all the variables equally or overlooks exogenous information, this paper focuses on a practical setting, which is time series forecasting with exogenous variables. We propose a novel framework, TimeXer, to utilize external information to enhance the forecasting of endogenous variables. With a deftly designed embedding layer, TimeXer empowers the canonical Transformer architecture with the ability to reconcile endogenous and exogenous information, where patch-wise self-attention and variate-wise cross-attention are employed. Moreover, a global endogenous variate token is adopted to effectively bridge the exogenous series into endogenous temporal patches. Experimentally, TimeXer significantly improves time series forecasting with exogenous variables and achieves consistent state-of-the-art performance in twelve real-world forecasting benchmarks.