Deep learning, a crucial technique for achieving artificial intelligence (AI), has been successfully applied in many fields. The gradual application of the latest architectures of deep learning in the field of time series forecasting (TSF), such as Transformers, has shown excellent performance and results compared to traditional statistical methods. These applications are widely present in academia and in our daily lives, covering many areas including forecasting electricity consumption in power systems, meteorological rainfall, traffic flow, quantitative trading, risk control in finance, sales operations and price predictions for commercial companies, and pandemic prediction in the medical field. Deep learning-based TSF tasks stand out as one of the most valuable AI scenarios for research, playing an important role in explaining complex real-world phenomena. However, deep learning models still face challenges: they need to deal with the challenge of large-scale data in the information age, achieve longer forecasting ranges, reduce excessively high computational complexity, etc. Therefore, novel methods and more effective solutions are essential. In this paper, we review the latest developments in deep learning for TSF. We begin by introducing the recent development trends in the field of TSF and then propose a new taxonomy from the perspective of deep neural network models, comprehensively covering articles published over the past five years. We also organize commonly used experimental evaluation metrics and datasets. Finally, we point out current issues with the existing solutions and suggest promising future directions in the field of deep learning combined with TSF. This paper is the most comprehensive review related to TSF in recent years and will provide a detailed index for researchers in this field and those who are just starting out.

Driven by real-world demands of processing massive high-frequency data and achieving longer forecasting horizons in time series forecasting scenarios, a variety of deep learning architectures designed for time series forecasting have emerged at a rapid pace. However, this rapid development actually leads to a sharp increase in parameter size, and the introduction of numerous redundant modules typically offers only limited contribution to improving prediction performance. Although prediction models have shown a trend towards simplification over a period, significantly improving prediction performance, they remain weak in capturing dynamic relationships. Moreover, the predictive accuracy depends on the quality and extent of data preprocessing, making them unsuitable for handling complex real-world data. To address these challenges, we introduced Treeformer, an innovative model that treats the traditional tree-based machine learning model as an encoder and integrates it with a Transformer-based forecasting model, while also adopting the idea of time–feature two-dimensional information extraction by channel independence and cross-channel modeling strategy. It fully utilizes the rich information across variables to improve the ability of time series forecasting. It improves the accuracy of prediction on the basis of the original deep model while maintaining a low computational cost and exhibits better applicability to real-world datasets. We conducted experiments on multiple publicly available datasets across five domains—electricity, weather, traffic, the forex market, healthcare. The results demonstrate improved accuracy, and provide a better hybrid approach for enhancing predictive performance in Long-term Sequence Forecasting (LSTF) problems.