Cited by 3,291Time Series Analysis and ForecastingForecasting Techniques and ApplicationsTraffic Prediction and Management Techniques

The DOI matches its Crossref record; 42 of the 42 references it cites were found in a registry or an index.

Temporal Fusion Transformers for interpretable multi-horizon time series forecasting

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Lim, Bryan, Arık, Sercan Ö., Loeff, Nicolas, Pfister, Tomas·2021·International Journal of Forecasting

Abstract

Multi-horizon forecasting often contains a complex mix of inputs – including static (i.e. time-invariant) covariates, known future inputs, and other exogenous time series that are only observed in the past – without any prior information on how they interact with the target. Several deep learning methods have been proposed, but they are typically ‘black-box’ models that do not shed light on how they use the full range of inputs present in practical scenarios. In this paper, we introduce the Temporal Fusion Transformer (TFT) – a novel attention-based architecture that combines high-performance multi-horizon forecasting with interpretable insights into temporal dynamics. To learn temporal relationships at different scales, TFT uses recurrent layers for local processing and interpretable self-attention layers for long-term dependencies. TFT utilizes specialized components to select relevant features and a series of gating layers to suppress unnecessary components, enabling high performance in a wide range of scenarios. On a variety of real-world datasets, we demonstrate significant performance improvements over existing benchmarks, and highlight three practical interpretability use cases of TFT.

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Metadata

Authors
Lim, B., Arık, S. Ö., Loeff, N., & Pfister, T.
Affiliations
  • University of Oxford (GB)
  • Google (United States) (US)
Corresponding author
Lim, Bryan
Venue
International Journal of Forecasting
Publisher
Elsevier BV
Published
2021-10
Volume
37
Issue
4
Pages
1748-1764
ISSN
0169-2070 (ISSN-L)
OpenAlex
W2996331899
Cited by
3,291
References
41
Citations by year
2026: 1359 · 2025: 827 · 2024: 508 · 2023: 362 · 2022: 153 · 2021: 66
FWCI
126.76
Type
journal article
Language
en
Open access
Locations
  • International Journal of Forecasting (publishedVersion, cc-by)
  • arXiv (Cornell University) (submittedVersion)
  • RePEc: Research Papers in Economics (submittedVersion)
  • arXiv (Cornell University)
Funders
Google Inc
Topics
  • Physical Sciences › Computer Science › Signal Processing › Time Series Analysis and Forecasting
  • Social Sciences › Decision Sciences › Management Science and Operations Research › Forecasting Techniques and Applications
  • Social Sciences › Transportation › Traffic Prediction and Management Techniques
Keywords
Temporal Fusion Transformer, interpretability, self-attention, gating mechanism, feature selection, exogenous variables, recurrent layers, long-range dependencies, temporal dynamics

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