  Transformer has become one of the most popular architectures for multivariate
time series (MTS) forecasting. Recent Transformer-based MTS models generally
prefer channel-independent structures with the observation that channel
independence can alleviate noise and distribution drift issues, leading to more
robustness. Nevertheless, it is essential to note that channel dependency
remains an inherent characteristic of MTS, carrying valuable information.
Designing a model that incorporates merits of both channel-independent and
channel-mixing structures is a key to further improvement of MTS forecasting,
which poses a challenging conundrum. To address the problem, an injection
method for global information into channel-independent Transformer, InjectTST,
is proposed in this paper. Instead of designing a channel-mixing model
directly, we retain the channel-independent backbone and gradually inject
global information into individual channels in a selective way. A channel
identifier, a global mixing module and a self-contextual attention module are
devised in InjectTST. The channel identifier can help Transformer distinguish
channels for better representation. The global mixing module produces
cross-channel global information. Through the self-contextual attention module,
the independent channels can selectively concentrate on useful global
information without robustness degradation, and channel mixing is achieved
implicitly. Experiments indicate that InjectTST can achieve stable improvement
compared with state-of-the-art models.
