XMatch: Enhancing Covariate-Aware Time Series Forecasting through Tree-Structured Exogenous Matching

Ziyang Zhang, Hanyin Cheng, Xiangfei Qiu, Yang Shu, Bin Yang +1

Future exogenous variables provide valuable information for forecasting endogenous time series. Existing covariate-aware methods primarily learn the direct influence of exogenous variables on endogenous variables. However, these effects can be complex and change with the pattern of the exogenous variables, making them difficult to capture. Beyond this perspective, we observe that a given exogenous pattern often co-occurs with only a small set of endogenous response patterns. These associations motivate a strategy that matches future and historical exogenous patterns and uses the corresponding endogenous patterns to enhance forecasting. However, in real-world forecasting scenarios with multiple exogenous variables, each exogenous variable provides a distinct dimension for matching, creating a dilemma for this strategy between precise matching and sufficient historical support. To bridge this gap, we propose XMatch (EXogenous MATCHing), a covariate-aware forecasting model that realizes the aforementioned strategy through a tree-structured matching process that adaptively adjusts the number of exogenous variables used as matching conditions. Specifically, we first introduce the…