Disentangling Coarse and Fine Latent Dynamics for Probabilistic Time Series Forecasting

摘要

Probabilistic time series forecasting seeks to quantify the uncertainty of future observations. While recent works introduce latent variables to alleviate the spurious dependencies caused by hidden confounders, thereby reducing overly wide confidence intervals, simply incorporating latent factors is not sufficient. When the underlying latent dynamics evolve at multiple temporal scales, existing methods may entangle temporally coarse and fine latent dynamics, which introduces spurious latent transitions and in turn amplifies predictive uncertainty. Therefore, disentangling temporally coarse and fine latent dynamics is essential for achieving sharper and more reliable probabilistic forecasting results. Building on this insight, we propose COFE (COarse And FinE latent dynamics disentanglement), a variational autoencoder–based framework that models the temporal distribution by disentangling and modeling the rapidly changing and slowly varying latent dynamics simultaneously. In particular, the proposed COFE harnesses the independence of estimated noises between adjacent latent states as well as a sparsity constraint on estimated noise to disentangle latent dynamics across different scales effectively. More specifically, we show that the multi-scale latent dynamics are disentangled with rigorous theoretical guarantees. Extensive experiments on 15 benchmark datasets, compared against 12 state-of-the-art baselines, demonstrate that COFE achieves superior uncertainty quantification, validating its effectiveness in a wide range of real-world scenarios. Code is available at https://github.com/polars8948/COFE