CGDT-CESN: Correlation-Guided and Dynamics-Trained Clustered Echo State Network for Multivariate Time-Series Prediction

Hariharan Srinivasan, Masoom Bhargava, Sayan Gupta

Accurate prediction of multivariate time series requires models that simultaneously capture variable-specific dynamics and cross-variable interactions. In this work, a Correlation-Guided and Dynamics-Trained Clustered Echo State Network (CGDT-CESN) is proposed, which comprises a modular reservoir architecture with each cluster distinctly specializing in one of the variables in the multivariate time series. An innovative reservoir design is proposed in which inter-cluster connections are enabled by empirically observed correlations among variables, providing a data-driven coupling mechanism. Apart from conventional readout training, inter-cluster connection weights informed by correlations are trained, which in turn allows the reservoir to capture time-varying cross-variable dependencies without sacrificing computational efficiency and further improves forecasting accuracy. The prediction performance of CGDT-CESN is found to be superior to that of the conventional ESN when evaluated on two fundamentally different datasets: Twitter information cascade evolution and solar wind forecasting. Also, the improvement in performance is preserved across multiple prediction horizons, even…