GLFNet: Global and Local Frequency-domain Network for Long-term Time Series Forecasting

Recently, patch-based transformer methods have demonstrated strong effectiveness in time series forecasting. However, the complexity of self-attention imposes demands on memory and compute resources. In addition, though patches can capture comprehensive temporal information while preserving locality, temporal information within patches remains important for time series prediction. The existing methods mainly focus on modeling long-term dependencies across patches, while paying little attention to the short-term dependencies within patches. In this paper, we propose the Global and Local Frequency-domain Network (GLFNet), a novel architecture that efficiently learns global time dependencies and local time relationships in the frequency domain. Specifically, we design a frequency filtering layer to learn the temporal interactions instead of self-attention. Then we devise a dual filtering block consisting of global filter block and local filter block which learns the global dependencies across patches and local dependencies within patches. Experiments on seven benchmark datasets demonstrate that our approach achieve superior performance with improved efficiency.