DGraFormer: Dynamic Graph Learning Guided Multi-Scale Transformer for Multivariate Time Series Forecasting

Abstract

Multivariate time series forecasting is a critical focus across many fields. Existing transformer-based models have overlooked the explicit modeling of inter-variable correlations. Similarly, the graph-based methods have also failed to address the dynamic nature of multivariate correlations and the noise in correlation modeling. To overcome these challenges, we propose a novel Dynamic Graph Learning Guided Multi-Scale Transformer (DGraFormer) for multivariate time series forecasting. Specifically, our method consists of two main components: Dynamic correlation-aware graph Learning (DCGL) and multi-scale temporal transformer (MTT). The former aims to capture dynamic correlations across different time windows, filters out noise, and selects key weights to guide the aggregation of relevant feature representations. The latter can effectively extract temporal patterns from patch data at varying scales. Finally, the proposed method can capture rich local correlation graph structures and multi-scale global temporal features. Experimental results demonstrate that DGraformer significantly outperforms existing state-of-the-art models on ten real-world datasets, achieving the best performance across multiple evaluation metrics. The source code of our model is available at \url{https://anonymous.4open.science/r/DGraFormer}.