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Abstract Accurately predicting the future trend of a time series holds immense importance for decision-making and planning across various domains, including energy planning, weather forecasting, traffic warning, and other practical applications. Recently, deep learning methods based on transformers and time convolution networks (TCN) have achieved a surprising performance in long-term sequence prediction. However, the attention mechanism for calculating global correlation is highly complex, and TCN methods do not fully consider the characteristics of time-series data. To address these challenges, we introduce a new learning model named wavelet-based Fourier-enhanced network model decomposition (W-FENet). Specifically, we have used trend decomposition and wavelet transform to decompose the original data. This processed time-series data can then be more effectively analyzed by the model and mined for different components in the series, as well as capture the local details and overall trendiness of the series. An efficient feature extraction method, Fourier enhancement-based feature extraction (FEMEX), is introduced in our model. The mechanism converts time-domain information into frequency-domain information through a Fourier enhancement module, and the obtained frequency-domain information is better captured by the model than the original time-domain information in terms of periodicity, trend, and frequency features. Experiments on multiple benchmark datasets show that, compared with the state-of-the-art methods, the MSE and MAE of our model are improved by 11.1 and 6.36% on average, respectively, covering three applications (i.e. ETT, Exchange, and Weather).
Wang et al. (Fri,) studied this question.