EAAI Journal 2025 Journal Article
An efficient framework for general long-horizon time series forecasting with Mamba and Diffusion Probabilistic Models
- Wenjing Wang
- Qilei Li
- Ziwu Jiang
- Deqian Fu
- David Camacho
Time series forecasting plays an essential role in supporting critical decision-making processes in risk management and resource allocation in various fields, including finance, transportation, industrial systems, etc. Conventional models can effectively capture volatility and, are proficient in handling specific patterns, such as the AutoRegressive Integrated Moving Average model (ARIMA) and the Generalized AutoRegressive Conditional Heteroskedasticity model (GARCH). Nonetheless, these models meet many challenges, such as high dimensionality, non-stationarity, and nonlinearity inherent in real-world data. Although deep learning methodologies can provide better performance, they may still suffer from long-term errors and heightened computational expenses. A novel framework named Mamba Diffusion Probabilistic Models (MambaDiffTS) is proposed, which integrates Mamba’s state space model with a frequency-aware diffusion process grounded in Denoising Diffusion Probabilistic Models (DDPM). Mamba’s selective state transitions enable linear-time modeling of long-range dependencies; at the same time, frequency-aware spectral decomposition isolates trends and seasonality through Fourier regularization. Furthermore, the implementation of spectral energy-guided noise scheduling preserves temporal fidelity. Extensive experiments on diverse benchmarks-financial volatility, industrial IoT sensor data, and climate modeling-demonstrate MambaDiffTS’s superiority. Notably, on stock forecasting tasks, MambaDiffTS reduces Mean Squared Error (MSE) by approximately 18. 6% compared to the best-performing baseline, and substantially outperforms diffusion models, all while maintaining linear computational complexity. The proposed MambaDiffTS facilitates scalable forecasting over extended horizons.