Hyperbolic Time Series Forecasting with Learnable Decomposition and Manifold Dynamics

Abstract

Multiscale structure is central to time series forecasting: temporal signals contain slowly varying trends, intermediate seasonal patterns, and high-frequency residuals. Traditional forecasters model this multiscale structure in Euclidean space, without representing the ordering it induces among components. We identify that cascaded decomposition orders components by their characteristic frequencies, forming a natural frequency hierarchy. This hierarchy aligns with the exponential volume growth of hyperbolic space, which provides increasing representational capacity with radius and naturally accommodates nested hierarchies. We propose HyperForecast, the first long-term time series forecasting (LTSF) framework operating in hyperbolic space. HyperForecast embeds decomposed temporal segments on the Poincaré ball where radial distance captures this nested structure, from low-frequency components near the origin to high-frequency components near the boundary. We model geodesic velocity through two manifold-dynamics variants: (a) autoregressive forecasting via Poincaré residual dynamics, and (b) non-autoregressive forecasting that predicts all future segments in parallel. HyperForecast consistently outperforms existing and state-of-the-art baselines on 9 of 11 long-term forecasting benchmarks, achieving up to 58% lower mean squared error at long horizons. Further analysis reveals that the learned radial embeddings recover the frequency hierarchy and that hyperbolic geometry contributes substantially to forecasting performance.