SegmentedCrossformer—A Novel and Enhanced Cross-Time and Cross-Dimensional Transformer for Multivariate Time Series Forecasting

Zijiang Yang () and Tad Gonsalves
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Zijiang Yang: Deptartment of Information & Communication Sciences, Sophia University, Tokyo 102-8554, Japan
Tad Gonsalves: Deptartment of Information & Communication Sciences, Sophia University, Tokyo 102-8554, Japan

Forecasting, 2025, vol. 7, issue 3, 1-20

Abstract: Multivariate Time Series Forecasting (MTSF) has been innovated with a series of models in the last two decades, ranging from traditional statistical approaches to RNN-based models. However, recent contributions from deep learning to time series problems have made huge progress with a series of Transformer-based models. Despite the breakthroughs by attention mechanisms applied to deep learning areas, many challenges remain to be solved with more sophisticated models. Existing Transformers known as attention-based models outperform classical models with abilities to capture temporal dependencies and better strategies for learning dependencies among variables as well as in the time domain in an efficient manner. Aiming to solve those issues, we propose a novel Transformer—SegmentedCrossformer (SCF), a Transformer-based model that considers both time and dependencies among variables in an efficient manner. The model is built upon the encoder–decoder architecture in different scales and compared with the previous state of the art. Experimental results on different datasets show the effectiveness of SCF with unique advantages and efficiency.

Keywords: multivariate time series forecasting; Transformer; self-attention; two-stage attention; foundation model (search for similar items in EconPapers)
JEL-codes: A1 B4 C0 C1 C2 C3 C4 C5 C8 M0 Q2 Q3 Q4 (search for similar items in EconPapers)
Date: 2025
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