  Traffic time series forecasting is challenging due to complex spatio-temporal
dynamics time series from different locations often have distinct patterns; and
for the same time series, patterns may vary across time, where, for example,
there exist certain periods across a day showing stronger temporal
correlations. Although recent forecasting models, in particular deep learning
based models, show promising results, they suffer from being spatio-temporal
agnostic. Such spatio-temporal agnostic models employ a shared parameter space
irrespective of the time series locations and the time periods and they assume
that the temporal patterns are similar across locations and do not evolve
across time, which may not always hold, thus leading to sub-optimal results. In
this work, we propose a framework that aims at turning spatio-temporal agnostic
models to spatio-temporal aware models. To do so, we encode time series from
different locations into stochastic variables, from which we generate
location-specific and time-varying model parameters to better capture the
spatio-temporal dynamics. We show how to integrate the framework with canonical
attentions to enable spatio-temporal aware attentions. Next, to compensate for
the additional overhead introduced by the spatio-temporal aware model parameter
generation process, we propose a novel window attention scheme, which helps
reduce the complexity from quadratic to linear, making spatio-temporal aware
attentions also have competitive efficiency. We show strong empirical evidence
on four traffic time series datasets, where the proposed spatio-temporal aware
attentions outperform state-of-the-art methods in term of accuracy and
efficiency. This is an extended version of "Towards Spatio-Temporal Aware
Traffic Time Series Forecasting", to appear in ICDE 2022 [1], including
additional experimental results.
