HMformer: Unleashing Transformer’s Potential for Time Series Forecasting via Hierarchical Multi-Scale Modeling

Abstract

Time series forecasting plays a critical role across a wide range of domains. Recently, an increasing number of Transformer-based forecasting models have emerged, achieving remarkably competitive performance. However, real-world time series data often exhibit complex multi-scale periodicities, which are not well-suited for modeling by the original Transformer architecture originally developed for NLP tasks. To address this limitation, we propose the Hierarchical Multi-scale Time Series Transformer (HMformer), employing a novel and sophisticated framework specifically designed for multi-scale time series forecasting. Specifically, HMformer incorporates a hierarchical cross-scale mixing mechanism that progressively aggregates temporal information from fine to coarse granularities, a scale-adaptive feature expansion design enhancing the extraction of high-level temporal semantics, and a multi-branch complementary prediction strategy for effectively integrating diverse temporal patterns. Collectively, these components enable HMformer to capture intricate, multi-scale temporal dynamics while retaining the Transformer’s inherent strength in modeling long-range dependencies. Extensive experiments conducted on multiple real-world benchmark datasets—encompassing both long-term and short-term forecasting tasks—demonstrate that HMformer achieves state-of-the-art performance.