Deep Time-Series Forecasting in 10 Years: A Survey
Abstract
Autocorrelation is a common property of time-series, where each observation is dependent on its predecessors. In deep time-series forecasting, it raises two central challenges: (1) designing backbone architectures to model autocorrelation in history sequences, and (2) devising loss functions to model autocorrelation in label sequences. Recent studies have made strides in tackling these challenges, but a systematic survey examining both aspects remains lacking. To bridge this gap, this paper reviews deep time-series forecasting from an autocorrelation modeling perspective, offering two contributions beyond existing surveys. First, it introduces a taxonomy that jointly covers both backbone architectures and loss functions, whereas prior surveys provide limited coverage of the latter. Second, it analyzes the motivations and insights underlying the surveyed literature from a unified autocorrelation perspective, providing a holistic overview of the field's evolution. Additional resources and details are available at https://github.com/Master-PLC/Awesome-TSF-Papers.
