Time series forecasting is a critical and challenging task in practical application. Recent advancements in pre-trained foundation models for time series forecasting have gained significant interest. However, current methods often overlook the multi-scale nature of time series, which is essential for accurate forecasting. To address this, we propose HiMTM, a hierarchical multi-scale masked time series modeling with self-distillation for long-term forecasting. HiMTM integrates four key components: (1) hierarchical multi-scale transformer (HMT) to capture temporal information at different scales; (2) decoupled encoder-decoder (DED) that directs the encoder towards feature extraction while the decoder focuses on pretext tasks; (3) hierarchical self-distillation (HSD) for multi-stage feature-level supervision signals during pre-training; and (4) cross-scale attention fine-tuning (CSA-FT) to capture dependencies between different scales for downstream tasks. These components collectively enhance multi-scale feature extraction in masked time series modeling, improving forecasting accuracy. Extensive experiments on seven mainstream datasets show that HiMTM surpasses state-of-the-art self-supervised and end-to-end learning methods by a considerable margin of 3.16-68.54\%. Additionally, HiMTM outperforms the latest robust self-supervised learning method, PatchTST, in cross-domain forecasting by a significant margin of 2.3\%. The effectiveness of HiMTM is further demonstrated through its application in natural gas demand forecasting.

Accurate Traffic Prediction is a challenging task in intelligent transportation due to the spatial-temporal aspects of road networks. The traffic of a road network can be affected by long-distance or long-term dependencies where existing methods fall short in modeling them. In this paper, we introduce a novel framework known as Spatial-Temporal Multi-Granularity Framework (STMGF) to enhance the capture of long-distance and long-term information of the road networks. STMGF makes full use of different granularity information of road networks and models the long-distance and long-term information by gathering information in a hierarchical interactive way. Further, it leverages the inherent periodicity in traffic sequences to refine prediction results by matching with recent traffic data. We conduct experiments on two real-world datasets, and the results demonstrate that STMGF outperforms all baseline models and achieves state-of-the-art performance.