Efficient and explainable multivariate time series forecasting: a survey of architectures, taxonomies, and open challenges

Abstract

Abstract The rapid expansion of multivariate time series (MTS) data has made deep learning a central tool for forecasting across industrial and scientific domains. As these architectures move into settings such as clinical decision support, industrial monitoring, and financial risk management, researchers need to examine not only predictive accuracy but also computational cost and the kinds of explanations that a model can support. This survey re-examines deep learning models for MTS forecasting through the requirements of efficiency and explainability. Our contributions are threefold: (1) We synthesize the literature through a dual-axis scalability view over sequence length L and variate dimension N , together with a three-question explainability taxonomy covering temporal importance, variate importance, and pattern decomposition. (2) We review dominant architectural families, including Transformer variants, frequency-domain methods, linear and channel-independent backbones, state space models, and foundation-style forecasters, to describe how different designs occupy different efficiency–explainability profiles under specific data and deployment assumptions. (3) Building on this synthesis, we identify key open challenges—including the absence of standardized explainability benchmarks for time series, the interpretability gap in state space models, and the need to advance from correlational to causal explanations—and offer reporting considerations to guide more comparable future research.