Arjun Ashok

Arjun Ashok, Étienne Marcotte, Valentina Zantedeschi et al.

We introduce a new model for multivariate probabilistic time series prediction, designed to flexibly address a range of tasks including forecasting, interpolation, and their combinations. Building on copula theory, we propose a simplified objective for the recently-introduced transformer-based attentional copulas (TACTiS), wherein the number of distributional parameters now scales linearly with the number of variables instead of factorially. The new objective requires the introduction of a training curriculum, which goes hand-in-hand with necessary changes to the original architecture. We show that the resulting model has significantly better training dynamics and achieves state-of-the-art performance across diverse real-world forecasting tasks, while maintaining the flexibility of prior work, such as seamless handling of unaligned and unevenly-sampled time series. Code is made available at https://github.com/ServiceNow/TACTiS.

Kashif Rasul, Arjun Ashok, Andrew Robert Williams et al.

Over the past years, foundation models have caused a paradigm shift in machine learning due to their unprecedented capabilities for zero-shot and few-shot generalization. However, despite the success of foundation models in modalities such as natural language processing and computer vision, the development of foundation models for time series forecasting has lagged behind. We present Lag-Llama, a general-purpose foundation model for univariate probabilistic time series forecasting based on a decoder-only transformer architecture that uses lags as covariates. Lag-Llama is pretrained on a large corpus of diverse time series data from several domains, and demonstrates strong zero-shot generalization capabilities compared to a wide range of forecasting models on downstream datasets across domains. Moreover, when fine-tuned on relatively small fractions of such previously unseen datasets, Lag-Llama achieves state-of-the-art performance, outperforming prior deep learning approaches, emerging as the best general-purpose model on average. Lag-Llama serves as a strong contender to the current state-of-art in time series forecasting and paves the way for future advancements in foundation models tailored to time series data.

Arjun Ashok, Chaitanya Devaguptapu, Vineeth Balasubramanian

Out-of-distribution (O.O.D.) generalization remains to be a key challenge for real-world machine learning systems. We describe a method for O.O.D. generalization that, through training, encourages models to only preserve features in the network that are well reused across multiple training domains. Our method combines two complementary neuron-level regularizers with a probabilistic differentiable binary mask over the network, to extract a modular sub-network that achieves better O.O.D. performance than the original network. Preliminary evaluation on two benchmark datasets corroborates the promise of our method.

Yihong Tang, Andrew Robert Williams, Arjun Ashok et al.

Time series forecasting in real-world settings often depends not only on historical observations, but also on external context that must be actively discovered from noisy, heterogeneous information sources. Yet existing context-aided forecasting benchmarks typically assume that the supporting context is already provided, leaving open whether agents can identify it on their own. Therefore, we introduce Dr-CiK, a benchmark for evaluating whether agents can retrieve forecasting-relevant supporting context from a document corpus, filter out distractors, distill the retrieved context into forecast-useful evidence, and generate forecasts supported by that evidence. Through context ablations and evaluations of state-of-the-art deep research and forecasting methods paired together, we show that high-quality context substantially improves forecasting performance in Dr-CiK. However, most existing DR agents recover only a small fraction of the ground-truth supporting evidence (usually <5%), are frequently misled by distractors (>80% distractor citations), and can cause forecasters to perform worse with retrieved context than without context. Our results motivate research on foresight-driven agents that search for the right context to predict the future.

Vincent Zhihao Zheng, Étienne Marcotte, Arjun Ashok et al.

Context-aided forecasting (CAF) holds promise for integrating domain knowledge and forward-looking information, enabling AI systems to surpass traditional statistical methods. However, recent empirical studies reveal a puzzling gap: multimodal models often fail to outperform their unimodal counterparts. We hypothesize that this underperformance stems from poor context quality in existing datasets, as verification is challenging. To address these limitations, we introduce a semi-synthetic data augmentation method that generates contexts both descriptive of temporal dynamics and verifiably complementary to numerical histories. This approach enables massive-scale dataset creation, resulting in CAF-7M, a corpus of 7 million context-augmented time series windows, including a rigorously verified test set. We demonstrate that semi-synthetic pre-training transfers effectively to real-world evaluation, and show clear evidence of context utilization. Our results suggest that dataset quality, rather than architectural limitations, has been the primary bottleneck in context-aided forecasting.

Roland Riachi, Kashif Rasul, Arjun Ashok et al.

Recent works have demonstrated the effectiveness of adapting pre-trained language models (LMs) for forecasting time series in the low-data regime. We build upon these findings by analyzing the effective transfer from language models to time series forecasting under various design choices including upstream post-training, time series tokenizer and language backbone size. In the low-data regime, these design choices have a significant impact on the validation loss, with clear-cut choices that outperform others. Contrary to Hernandez et al. (2021), we observe that the validation loss of the LMs continues to smoothly decrease long after the validation loss of the randomly initialized models has converged, leading to a non-vanishing transfer gap that holds across design choices. These findings not only help shed light on the effective use of compute-efficient training for time series, but also open the way for the study of modality-agnostic properties of data distributions leveraged by these models.