An Adaptive Temporal Attention Mechanism to Address Distribution Shifts

With the goal of studying robust sequence modeling via time series, we propose a robust multi-horizon forecasting approach that adaptively reacts to distribution shifts on relevant time scales. It is common in many forecasting domains to observe slow or fast forecasting signals at different times. For example wind and river forecasts are slow changing during drought, but fast during storms. Our approach is based on the transformer architecture, that across many domains, has demonstrated significant improvements over other architectures. Several works benefit from integrating a temporal context to enhance the attention mechanism's understanding of the underlying temporal behavior. In this work, we propose an adaptive temporal attention mechanism that is capable to dynamically adapt the temporal observation window as needed. Our experiments on several real-world datasets demonstrate significant performance improvements over existing state-of-the-art methodologies.