TransDF: Time-Series Forecasting Needs Transformed Label Alignment

Abstract: Training time-series forecasting models presents unique challenges in designing effective learning objectives. Existing methods predominantly utilize the temporal mean squared error, which faces two critical challenges: (1) label autocorrelation, which leads to bias from the label sequence likelihood; (2) excessive amount of tasks, which increases with the forecast horizon and complicates optimization. To address these challenges, we propose Transform-enhanced Direct Forecast (TransDF), which transforms the label sequence into decorrelated components with discriminated significance. Models are trained to align the most significant components, thereby effectively mitigating label autocorrelation and reducing task amount. Extensive experiments demonstrate that TransDF achieves state-of-the-art performance and is compatible with various forecasting models. Code is available at https://anonymous.4open.science/r/TransDF-88CF.