PENGUIN: Enhancing Transformer with Periodic-Nested Group Attention for Long-term Time Series Forecasting

Abstract

Despite advances in the Transformer architecture, their effectiveness for long-term time series forecasting (LTSF) remains controversial. In this paper, we investigate the potential of integrating explicit periodicity modeling into the self-attention mechanism to enhance the performance of Transformer-based architectures for LTSF. Specifically, we propose PENGUIN, a simple yet effective periodic-nested group attention mechanism. Our approach introduces a periodic-aware relative attention bias to directly capture periodic structures and a grouped multi-query attention mechanism to handle multiple coexisting periodicities (e.g., daily and weekly cycles) within time series data. Extensive experiments across diverse benchmarks demonstrate that PENGUIN consistently outperforms both MLP-based and Transformer-based models. Code is available at https://github.com/ysygMhdxw/AISTATS2026_PENGUIN.