A Hybrid Framework Integrating Traditional Models and Deep Learning for Multi-Scale Time Series Forecasting

Time series forecasting is critical for decision-making in numerous domains, yet achieving high accuracy across both short-term and long-term horizons remains challenging. In this paper, we propose a general hybrid forecasting framework that integrates a traditional statistical model (ARIMA) with modern deep learning models (such as LSTM and Transformer). The core of our approach is a novel multi-scale prediction mechanism that combines the strengths of both model types to better capture short-range patterns and long-range dependencies. We design a dual-stage forecasting process, where a classical time series component first models transparent linear trends and seasonal patterns, and a deep neural network then learns complex nonlinear residuals and long-term contexts. The two outputs are fused through an adaptive mechanism to produce the final prediction. We evaluate the proposed framework on eight public datasets (electricity, exchange rate, weather, traffic, illness, ETTh1/2, and ETTm1/2) covering diverse domains and scales. The experimental results show that our hybrid method consistently outperforms stand-alone models (ARIMA, LSTM, and Transformer) and recent, specialized forecasters (Informer and Autoformer) in both short-horizon and long-horizon forecasts. An ablation study further demonstrates the contribution of each module in the framework. The proposed approach not only achieves state-of-the-art accuracy across varied time series but also offers improved interpretability and robustness, suggesting a promising direction for combining statistical and deep learning techniques in time series forecasting.