Multi-Resolution Diffusion Models for Time Series Forecasting
Authors: Lifeng Shen,Weiyu Chen,James Kwok
Presentation: ICLR 2024,Poster

Abstract: The diffusion model has been successfully used in many computer vision applications, such as text-guided image generation and image-to-image translation. Recently, there have been attempts on extending the diffusion model for time series data. However, these extensions are fairly straightforward and do not utilize the unique properties of time series data. As different patterns are usually exhibited at multiple scales of a time series, we in this paper leverage this multi-resolution temporal structure and propose the multi-resolution diffusion model (mr-Diff). By using the seasonal-trend decomposition, we sequentially extract fine-to-coarse trends from the time series for forward diffusion. The denoising process then proceeds in an easy-to-hard non-autoregressive manner. The coarsest trend is generated first. Finer details are progressively added, using the predicted coarser trends as condition variables. Experimental results on nine real-world time series datasets demonstrate that mr-Diff outperforms state-of-the-art time series diffusion models. It is also better than or comparable across a wide variety of advanced time series prediction models.