Papers › ForecastGrapher: Redefining Multivariate Time Series Forecasting with Graph Neural Networks

ForecastGrapher: Redefining Multivariate Time Series Forecasting with Graph Neural Networks

28 May 2024arXiv:2405.18036archive 2025-07-28

Wanlin Cai, Kun Wang, Hao Wu, Xiaoxu Chen, Yuankai Wu

The challenge of effectively learning inter-series correlations for multivariate time series forecasting remains a substantial and unresolved problem. Traditional deep learning models, which are largely dependent on the Transformer paradigm for modeling long sequences, often fail to integrate information from multiple time series into a coherent and universally applicable model. To bridge this gap, our paper presents ForecastGrapher, a framework reconceptualizes multivariate time series forecasting as a node regression task, providing a unique avenue for capturing the intricate temporal dynamics and inter-series correlations. Our approach is underpinned by three pivotal steps: firstly, generating custom node embeddings to reflect the temporal variations within each series; secondly, constructing an adaptive adjacency matrix to encode the inter-series correlations; and thirdly, augmenting the GNNs' expressive power by diversifying the node feature distribution. To enhance this expressive power, we introduce the Group Feature Convolution GNN (GFC-GNN). This model employs a learnable scaler to segment node features into multiple groups and applies one-dimensional convolutions with different kernel lengths to each group prior to the aggregation phase. Consequently, the GFC-GNN method enriches the diversity of node feature distribution in a fully end-to-end fashion. Through extensive experiments and ablation studies, we show that ForecastGrapher surpasses strong baselines and leading published techniques in the domain of multivariate time series forecasting.

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Tasks

Multivariate Time Series Forecasting Node Regression Time Series Time Series Forecasting

Results from the paper archive 2025-07-28

Task	Dataset	Model	Metric	Value	Rank at snapshot	Leaderboard	Report
Time Series Forecasting	ETTh1 (336) Multivariate	ForecastGrapher	MAE	0.448	#51 of 72	Archive leaderboard	report
Time Series Forecasting	ETTh1 (336) Multivariate	ForecastGrapher	MSE	0.472	#51 of 72	Archive leaderboard	report

Ranks are positions in the archive's leaderboards as they stood at the 2025-07-28 snapshot. Results published since then are not among these rows, so a rank here is not a current standing.

Methods

Absolute Position Encodings Adam Attention BPE Convolution Dense Connections Dropout Label Smoothing Layer Normalization Linear Layer Multi-Head Attention Position-Wise Feed-Forward Layer Residual Connection Softmax Transformer

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