# Context Neural Networks: A Scalable Multivariate Model for Time Series Forecasting

arXiv: https://arxiv.org/abs/2405.07117 · HTML: https://mlsanity.com/paper/2405.07117/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 11 of its 43 references that are in the map.
- First posted on arXiv 12 May 2024.

## Builds on (most cited first, 11 of 11)

- [Neural Machine Translation by Jointly Learning to Align and Translate](https://mlsanity.com/paper/1409.0473/) (2014)
- [A Time Series is Worth 64 Words: Long-term Forecasting with Transformers](https://mlsanity.com/paper/2211.14730/) (2022)
- [DeepAR: Probabilistic Forecasting with Autoregressive Recurrent Networks](https://mlsanity.com/paper/1704.04110/) (2017)
- [Modeling Long- and Short-Term Temporal Patterns with Deep Neural Networks](https://mlsanity.com/paper/1703.07015/) (2017)
- [Temporal Fusion Transformers for Interpretable Multi-horizon Time Series Forecasting](https://mlsanity.com/paper/1912.09363/) (2019)
- [Connecting the Dots: Multivariate Time Series Forecasting with Graph Neural Networks](https://mlsanity.com/paper/2005.11650/) (2020)
- [SCINet: Time Series Modeling and Forecasting with Sample Convolution and Interaction](https://mlsanity.com/paper/2106.09305/) (2021)
- [Discrete Graph Structure Learning for Forecasting Multiple Time Series](https://mlsanity.com/paper/2101.06861/) (2021)
- [Global Models for Time Series Forecasting: A Simulation Study](https://mlsanity.com/paper/2012.12485/) (2020)
- [R2N2: Residual Recurrent Neural Networks for Multivariate Time Series Forecasting](https://mlsanity.com/paper/1709.03159/) (2017)
- [Learning from Multiple Time Series: A Deep Disentangled Approach to Diversified Time Series Forecasting](https://mlsanity.com/paper/2111.04942/) (2021)

## Abstract (arXiv)

Real-world time series often exhibit complex interdependencies that cannot be captured in isolation. Global models that model past data from multiple related time series globally while producing series-specific forecasts locally are now common. However, their forecasts for each individual series remain isolated, failing to account for the current state of its neighbouring series. Multivariate models like multivariate attention and graph neural networks can explicitly incorporate inter-series information, thus addressing the shortcomings of global models. However, these techniques exhibit quadratic complexity per timestep, limiting scalability. This paper introduces the Context Neural Network, an efficient linear complexity approach for augmenting time series models with relevant contextual insights from neighbouring time series without significant computational overhead. The proposed method enriches predictive models by providing the target series with real-time information from its neighbours, addressing the limitations of global models, yet remaining computationally tractable for large datasets.