Latent Inference-Time Guidance of Time Series Foundation Models

Abstract:Time Series Foundation Models (TSFMs) currently provide state-of-the-art results in forecasting tasks. They are available out-of-the-box and rely on in-context learning to make their predictions, which makes the quality of their performance highly sensitive to the user-selected lookback, covariates, horizon and training data distributions. In practise, the quality of the forecasts are variable but complementary, which highlights the need for a principled ensembling approach, rather than selecting the best context. This paper introduces Latent Inference-Time Guidance for TSFMs, which adaptively combines a pool of TSFM forecasts through a time-dependent latent space with independent components. The framework comes equipped with identifiability and reconstruction guarantees, whilst maintaining the off-the-shelf aspect of foundation models. We provide experiments on datasets at various frequencies and from multiple domains: these show that the approach is competitive with traditional ensembling approaches.

Machine Learning (stat.ML); Machine Learning (cs.LG); Methodology (stat.ME)

arXiv:2609.38058 [stat.ML]

(or arXiv:2609.38058v1 [stat.ML] for this version)

https://doi.org/10.48550/arXiv.2609.38058 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

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