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Temporal Fusion Transformers for interpretable multi-horizon time series forecasting
Open accessAbstract
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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“Of note, recent work in a time-series analysis by Google has demonstrated the promise of attention-based model architectures to combine both static and time-dependent inputs to achieve interpretable time-series forecasting.”
From Multimodal biomedical AI (2022) · cites this paper as [41]
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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
- hybrid
- doi.org
- Licence
- 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
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
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