Crossformer: Transformer Utilizing Cross-Dimension Dependency for Multivariate Time Series Forecasting

In Crossformer, a Transformer-based model utilizing cross-dimension dependency for MTS forecasting, the input MTS is embedded into a 2D vector array through the Dimension-Segment-Wise embedding to preserve time and dimension information and the Two-Stage Attention layer is proposed to capture the cross-time and cross- dimension dependency.