Multivariate Probabilistic Time Series Forecasting with Informer
A few months ago we introduced the Time Series Transformer, which is the vanilla Transformer (Vaswani et al., 2017) applied to forecasting, and showed an example for the univariate probabilistic forecasting task (i.e. predicting each time series’ 1-d distribution individually). In this post we introduce the Informer model (Zhou, Haoyi, et al., 2021), AAAI21 best paper which is now available in 🤗 Transformers. We will show how to use the Informer model for the multivariate probabilistic forecasting task, i.e., predicting the distribution of a future