TMLR Journal 2026 Journal Article
Neural Fourier Transform for Multiple Time Series Prediction
- Noam Koren
- Kira Radinsky
- Daniel Freedman
Multivariate time series forecasting is an important task in various fields such as economic planning, healthcare management, and environmental monitoring. In this work, we present a novel methodology for improving multivariate forecasting, particularly, in data sets with strong seasonality. We frame the forecasting task as a Multi-Dimensional Fourier Transform (MFT) problem and propose the Neural Fourier Transform (NFT) that leverages a deep learning model to predict future time series values by learning the MFT coefficients. The efficacy of NFT is empirically validated on 7 diverse datasets, demonstrating improvements over multiple forecasting horizons and lookbacks, thereby establishing new state-of-the-art results. Our contributions advance the field of multivariate time series forecasting by providing a model that excels in predictive accuracy. The code of this study is publicly available.