Graph Neural Networks with Diversity-aware Neighbor Selection and Dynamic Multi-scale Fusion for Multivariate Time Series Forecasting

Abstract

Recently, numerous deep models have been proposed to enhance the performance of multivariate time series (MTS) forecasting. Among them, Graph Neural Networks (GNNs)-based methods have shown great potential due to their capability to explicitly model inter-variable dependencies. However, these methods often overlook the diversity of information among neighbors, which may lead to redundant information aggregation. In addition, their final prediction typically relies solely on the representation from a single temporal scale. To tackle these issues, we propose a Graph Neural Networks (GNNs) with Diversity-aware Neighbor Selection and Dynamic Multi-scale Fusion (DIMIGNN). DIMIGNN introduces a Diversity-aware Neighbor Selection Mechanism (DNSM) to ensure that each variable shares high informational similarity with its neighbors while maintaining diversity among neighbors themselves. Furthermore, a Dynamic Multi-Scale Fusion Module (DMFM) is introduced to dynamically adjust the contributions of prediction results from different temporal scales to the final forecasting result. Extensive experiments on real-world datasets demonstrate that DIMIGNN consistently outperforms prior methods.