MFTM-Informer: A multi-step prediction model based on multivariate fuzzy trend matching and Informer

Multi-step forecasting is a critical process in various fields, such as disaster warning and financial analysis. Nevertheless, achieving precise multi-step forecasting is challenging due to the intricate nature of the factors influencing the time series, most of which are highly nonlinear and nonstationary. In this paper, a multi-step forecasting model named MFTM-Informer, employing a multiple input multiple output strategy for multivariate trend matching is proposed. The dependent variable and the influencing factors are initially decomposed using multivariate variational modal decomposition to minimize noise. Afterwards, the decomposed data are reconstructed into multivariate trends and fluctuations using sample entropy, enabling the development of tailored forecasting strategies based on data characteristics. A multivariate trend is predicted using an enhanced pattern matching model, while the high-frequency fluctuation is modelled using Informer. Finally, the outcomes are combined to generate multi-step predictions. To validate the performance of the proposed model, we observed its performance on three real-world datasets, including Brent crude oil prices, European Union Allowance future prices, and Standard & Poor's 500 index. Results indicate that the model surpasses all the benchmark models in terms of multiple evaluation metrics and forecast ranges, highlighting its effectiveness and robustness in multi-step forecasting.