Efficiently Enhancing Long-term Series Forecasting via Adaptive Lookback with Wavelets

Long-term series forecasting leverages historical observations to predict extended future sequences and plays a crucial role across various domains. However, conventional models relying on fixed-length lookback windows struggle with the inherent dynamic dependencies and multi-scale characteristics of time series data. These fixed windows either introduce noise through excessive length or omit critical patterns when too short, while optimal window sizes vary significantly with tasks and external conditions. To address this, we propose the Adaptive Lookback Window (ALW) framework, a wavelet transform-driven approach for multi-scale adaptive lookback window selection. ALW decomposes time series into distinct frequency components through wavelet transforms, quantifies the contribution of each historical time step via scale-specific attention mechanisms, and dynamically determines optimal window lengths through backward information accumulation and soft truncation techniques. Finally, refined input features are generated for downstream prediction models via a weighted reconstruction process. Extensive evaluations across multiple public benchmarks demonstrate that ALW, as an efficient plug-and-play technique, not only reduces the MSE of backbone models by an average of 3.2% but also alleviates hyperparameter tuning requirements and enables input feature dimensionality reduction, which curtails subsequent model computational costs.