SDGF: Fusing Static and Multi-Scale Dynamic Correlations for Multivariate Time Series Forecasting

Abstract

Inter-series correlations are crucial for accurate multivariate time series forecasting, yet these relationships often exhibit complex dynamics across different temporal scales. Existing methods are limited in modeling these multi-scale dependencies and struggle to capture their intricate and evolving nature. To address this challenge, this paper proposes a novel Static-Dynamic Graph Fusion network (SDGF), whose core lies in capturing multi-scale inter-series correlations through a dual-path graph structure learning approach. Specifically, the model utilizes a static graph based on prior knowledge to anchor long-term, stable dependencies, while concurrently employing Multi-level Wavelet Decomposition to extract multi-scale features for constructing an adaptively learned dynamic graph to capture associations at different scales. We design an attention-gated module to fuse these two complementary sources of information intelligently, and a multi-kernel dilated convolutional network is then used to deepen the understanding of temporal patterns. Comprehensive experiments on multiple widely used real-world benchmark datasets demonstrate the effectiveness of our proposed model.