• 解决时间序列分布偏移问题的可逆归一化方法

    A reversible normalization method to address distribution shift in time series

    • 时间序列预测作为一项关键技术广泛应用于诸多领域。然而,时间序列数据的非平稳性所导致的数据统计特性变化、分布难以收敛,以及由此引发的分布偏移(Distribution Shift)问题,进一步增加了时间序列预测的难度。聚焦于时间序列的分布偏移问题,提出了一种简单而有效的可逆实例归一化(RaIN)方法。RaIN方法结合了通用的归一化和可选择的逆归一化技术,具有结构对称性。该方法能够移除和恢复时间序列数据中的非平稳信息,从而显著提高时间序列预测的性能。通过定量和定性分析验证了RaIN方法在解决分布偏移问题上的有效性。

       

      Abstract: Time series predication has become an undeniable technology in various domains of modern life. The non-stationarity of time series data is a significant challenge, leading to changes in their statistical properties and giving rise to distribution shift issues, which make accurate time series predictions more challenging. To address these challenges, a simple yet effective method called Reversible Scaling Instance Normalization (RaIN) is proposed. The RaIN method combines general normalization and optional inverse normalization techniques, and has structural symmetry. The method's symmetric structure is designed to remove and restore non-stationary information within time series data, resulting in a substantial improvement in prediction performance. To validate the effectiveness of RaIN in addressing distribution shift problems, extensive quantitative and qualitative analyses are implemented.

       

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