Yes, Transformers are Effective for Time Series Forecasting (+ Autoformer)
A few months ago, we introduced the Informer model (Zhou, Haoyi, et al., 2021), which is a Time Series Transformer that won the AAAI 2021 best paper award. We also provided an example for multivariate probabilistic forecasting with Informer. In this post, we discuss the question: Are Transformers Effective for Time Series Forecasting? (AAAI 2023). As we will see, they are.
Firstly, we will provide empirical evidence that Transformers are indeed Effective for Time Series Forecasting. Our comparison shows that the simple linear model, known