Co-evolving time series appears in a multitude of applications such as environmental monitoring, financial analysis, and smart transportation. This paper aims to address the following three challenges, including (C1) how to effectively model its multi-mode tensor structure at each time step; (C2) how to incorporate explicit relationship networks of the time series; (C3) how to model the implicit relationship of the temporal dynamics. We propose a novel model called Network of Tensor Time Series, which is comprised of two modules, including Tensor Graph Convolutional Network (TGCN) and Tensor Recurrent Neural Network (TRNN). TGCN tackles the first two challenges by generalizing Graph Convolutional Network (GCN) for flat graphs to tensor graphs, which captures the synergy between multiple graphs associated with the tensors. TRNN leverages tensor decomposition to balance the trade-off between the commonality and specificity of the co-evolving time series. The experimental results on five real-world datasets demonstrate the efficacy of the proposed method.

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