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Applications · Time Series

Jiahui Zhang, Zhengyang Zhou, Wenjie Du, Yang Wang

Long-term time series forecasting (LTSF) aims to predict future trends based on historical data. While longer lookback windows theoretically offer more comprehensive insights, Transformer-based models often struggle with them. On one hand, longer windows introduce more noise and redundancy, hindering the model's learning process. On the other hand, Transformers suffer from attention dispersion and are prone to overfitting to noise, especially when processing long sequences. In this paper, we introduce the Maximum Effective Window (MEW) metric to assess a model's ability to effectively utilize the lookback window. We also propose two model-agnostic modules to enhance MEW, enabling models to better leverage historical data for improved performance. Specifically, to reduce redundancy and noise, we introduce the Information Bottleneck Filter (IBF), which employs information bottleneck theory to extract the most essential subsequences from the input. Additionally, we propose the Hybrid-Transformer-Mamba (HTM), which incorporates the Mamba mechanism for selective forgetting of long sequences while harnessing the Transformer's strong modeling capabilities for shorter sequences. We integrate these two modules into various Transformer-based models, and experimental results show that they effectively enhance MEW, leading to improved overall performance. Our code is available at \url{https://github.com/forever-ly/PIH}.

Applications · Time Series

Cécile Rousseau, Tobia Boschi, Giandomenico Cornacchia, Dhaval Salwala, Alessandra Pascale, Juan Moreno

SDForger is a flexible and efficient framework for generating high-quality multivariate time series using LLMs. Leveraging a compact data representation, SDForger provides synthetic time series generation from a few samples and low-computation fine-tuning of any autoregressive LLM. Specifically, the framework transforms univariate and multivariate signals into tabular embeddings, which are then encoded into text and used to fine-tune the LLM. At inference, new textual embeddings are sampled and decoded into synthetic time series that retain the original data's statistical properties and temporal dynamics. Across a diverse range of datasets, SDForger outperforms existing generative models in many scenarios, both in similarity-based evaluations and downstream forecasting tasks. By enabling textual conditioning in the generation process, SDForger paves the way for multimodal modeling and the streamlined integration of time series with textual information. The model is open-sourced at https://github.com/IBM/fms-dgt/tree/main/fms_dgt/public/databuilders/time_series.

Applications · Time Series

Wenzhen Yue, Yong Liu, Hao Wang, Haoxuan Li, Xianghua Ying, Ruohao Guo, Bowei Xing, Ji Shi

This paper presents $\mathbf{OLinear}$, a $\mathbf{linear}$-based multivariate time series forecasting model that operates in an $\mathbf{o}$rthogonally transformed domain. Recent forecasting models typically adopt the temporal forecast (TF) paradigm, which directly encode and decode time series in the time domain. However, the entangled step-wise dependencies in series data can hinder the performance of TF. To address this, some forecasters conduct encoding and decoding in the transformed domain using fixed, dataset-independent bases (e.g., sine and cosine signals in the Fourier transform). In contrast, we propose $\mathbf{OrthoTrans}$, a data-adaptive transformation based on an orthogonal matrix that diagonalizes the series' temporal Pearson correlation matrix. This approach enables more effective encoding and decoding in the decorrelated feature domain and can serve as a plug-in module to enhance existing forecasters. To enhance the representation learning for multivariate time series, we introduce a customized linear layer, $\mathbf{NormLin}$, which employs a normalized weight matrix to capture multivariate dependencies. Empirically, the NormLin module shows a surprising performance advantage over multi-head self-attention, while requiring nearly half the FLOPs. Extensive experiments on 24 benchmarks and 140 forecasting tasks demonstrate that OLinear consistently achieves state-of-the-art performance with high efficiency. Notably, as a plug-in replacement for self-attention, the NormLin module consistently enhances Transformer-based forecasters. The code and datasets are available at https://github.com/jackyue1994/OLinear.

Applications · Time Series

Qihe Huang, Zhengyang Zhou, Yangze Li, Kuo Yang, Binwu Wang, Yang Wang

Time series forecasting is a critical and complex task, characterized by diverse temporal patterns, varying statistical properties, and different prediction horizons across datasets and domains. Conventional approaches typically rely on a single, unified model architecture to handle all forecasting scenarios. However, such monolithic models struggle to generalize across dynamically evolving time series with shifting patterns. In reality, different types of time series may require distinct modeling strategies. Some benefit from homogeneous multi-scale forecasting awareness, while others rely on more complex and heterogeneous signal perception. Relying on a single model to capture all temporal diversity and structural variations leads to limited performance and poor interpretability. To address this challenge, we propose a Multi-Agent Forecasting System (MAFS) that abandons the one-size-fits-all paradigm. MAFS decomposes the forecasting task into multiple sub-tasks, each handled by a dedicated agent trained on specific temporal perspectives (e.g., different forecasting resolutions or signal characteristics). Furthermore, to achieve holistic forecasting, agents share and refine information through different communication topology, enabling cooperative reasoning across different temporal views. A lightweight voting aggregator then integrates their outputs into consistent final predictions. Extensive experiments across 11 benchmarks demonstrate that MAFS significantly outperforms traditional single-model approaches, yielding more robust and adaptable forecasts.

Applications · Time Series

Xiangfei Qiu, Xingjian Wu, Hanyin Cheng, Xvyuan Liu, Chenjuan Guo, Jilin Hu, Bin Yang

Time series forecasting holds significant value in various domains such as economics, traffic, energy, and AIOps, as accurate predictions facilitate informed decision-making. However, the existing Mean Squared Error (MSE) loss function sometimes fails to accurately capture the seasonality or trend within the forecasting horizon, even when decomposition modules are used in the forward propagation to model the trend and seasonality separately. To address these challenges, we propose a simple yet effective Decomposition-Based Loss function called DBLoss. This method uses exponential moving averages to decompose the time series into seasonal and trend components within the forecasting horizon, and then calculates the loss for each of these components separately, followed by weighting them. As a general loss function, DBLoss can be combined with any deep learning forecasting model. Extensive experiments demonstrate that DBLoss significantly improves the performance of state-of-the-art models across diverse real-world datasets and provides a new perspective on the design of time series loss functions.

Applications · Time Series

Xukai Zhang, Shuliang Wang, Guangyin Jin, Ziqiang Yuan, Hanning Yuan, Sijie Ruan

Air pollution remains one of the most critical environmental challenges globally, posing severe threats to public health, ecological sustainability, and climate governance. While existing physics-based and data-driven models have made progress in air quality forecasting, they often struggle to jointly capture the complex spatiotemporal dynamics and ensure spatial continuity of pollutant distributions. In this study, we introduce CTENet, a novel chemical transport deep learning model that embeds the Advection-Diffusion-Reaction equation into a Physics-Informed Neural Network (PINN) framework using an Eulerian representation to model the spatiotemporal evolution of pollutants. Extensive experiments on two real-world datasets demonstrate that CTENet consistently outperforms state-of-the-art (SOTA) baselines, achieving a remarkable RMSE improvement of 45.8% on the USA dataset and 21.0% on the China dataset.

Applications · Time Series

Xinghong Chen, Weilin Wu, Kunping Yang, Guannan Chen

Forecasting real-world time series requires modeling both short-term fluctuations and long-term evolutions, as these signals typically exhibit multiscale temporal structures. A core challenge lies in reconciling such dynamics: high-frequency seasonality demands local precision, while low-frequency trends require global robustness. However, most existing methods adopt a unified loss function across all temporal components, overlooking their structural differences. This misalignment often causes overfitting to seasonal noise or underfitting of long-term trends, leading to suboptimal forecasting performance. To address this issue, we propose a Physics-guided Multiscale Loss Framework (PMLF) that decomposes time series into seasonal and trend components and assigns component-specific objectives grounded in the distinct energy responses of oscillatory and drift dynamics. Specifically, we assign a quadratic loss to seasonal components, reflecting the quadratic potential energy profile of molecular vibration, while a logarithmic loss is used for trend components to capture the sublinear energy profile of molecular drift under sustained external forces. Furthermore, we introduce a softmax-based strategy that adaptively balances the unequal energetic responses of these two physical processes. Experiments on different public benchmarks show that PMLF improves the performance of diverse baselines, demonstrating the effectiveness of physics-guided loss design in modeling structural heterogeneity in time series forecasting.

Applications · Time Series

Yue Jiang, Jichu Li, Yang Liu, Dingkang Yang, Feng Zhou, Quyu Kong

We introduce DanmakuTPPBench, a comprehensive benchmark designed to advance multi-modal Temporal Point Process (TPP) modeling in the era of Large Language Models (LLMs). While TPPs have been widely studied for modeling temporal event sequences, existing datasets are predominantly unimodal, hindering progress in models that require joint reasoning over temporal, textual, and visual information. To address this gap, DanmakuTPPBench comprises two complementary components:(1) DanmakuTPP-Events, a novel dataset derived from the Bilibili video platform, where user-generated bullet comments (Danmaku) naturally form multi-modal events annotated with precise timestamps, rich textual content, and corresponding video frames;(2) DanmakuTPP-QA, a challenging question-answering dataset constructed via a novel multi-agent pipeline powered by state-of-the-art LLMs and multi-modal LLMs (MLLMs), targeting complex temporal-textual-visual reasoning. We conduct extensive evaluations using both classical TPP models and recent MLLMs, revealing significant performance gaps and limitations in current methods’ ability to model multi-modal event dynamics. Our benchmark establishes strong baselines and calls for further integration of TPP modeling into the multi-modal language modeling landscape. Project page: https://github.com/FRENKIE-CHIANG/DanmakuTPPBench.

Guillaume Pourcel, Maxence Ernoult

Deep State Space Models (SSMs) reignite physics-grounded compute paradigms, as RNNs could natively be embodied into dynamical systems. This calls for dedicated learning algorithms obeying to core physical principles, with efficient techniques to simulate these systems and guide their design. We propose \emph{Recurrent Hamiltonian Echo Learning} (RHEL), an algorithm which provably computes loss gradients as finite differences of physical trajectories of non-dissipative, \emph{Hamiltonian systems}. In ML terms, RHEL only requires three ``forward passes'' irrespective of model size, without explicit Jacobian computation, nor incurring any variance in the gradient estimation. Motivated by the potential to implement our algorithm in non-digital physical systems, we first introduce RHEL in \emph{continuous time} and demonstrate its formal equivalence with the continuous adjoint state method. To facilitate the simulation of Hamiltonian systems trained by RHEL, we propose a \emph{discrete-time} version of RHEL which is equivalent to Backpropagation Through Time (BPTT) when applied to a class of recurrent modules which we call \emph{Hamiltonian Recurrent Units} (HRUs). This setting allows us to demonstrate the scalability of RHEL by generalizing these results to hierarchies of HRUs, which we call \emph{Hamiltonian SSMs} (HSSMs). We apply RHEL to train HSSMs with linear and nonlinear dynamics on a variety of time-series tasks ranging from mid-range to long-range classification and regression with sequence length reaching $\sim 50k$. We show that RHEL consistently matches the performance of BPTT across all models and tasks. This work opens new doors for the design of scalable, energy-efficient physical systems endowed with self-learning capabilities for sequence modelling.

Applications · Time Series

Barak Bringoltz, Elisha Halperin, Ran Feraru, Evgeny Blaichman, Amit Berman

Over the last decade, ransomware detection has become a central topic in cybersecurity research. Due to ransomware's direct interaction with storage devices, analyzing I/O streams has become an effective detection method and represents a vital area of focus for research. A major challenge in this field is the lack of publicly accessible data featuring individual command labeling. To address this problem, we introduce the Command LEvel Annotated Ransomware (CLEAR) dataset, a large-scale collection of storage devices' stream data. The dataset comprises 1,045 TiB of I/O traffic data, featuring malicious traffic from 137 ransomware variants. It offers two orders of magnitude more I/O traffic data and one order of magnitude more ransomware variants than any other publicly accessible dataset. Importantly, it is the only dataset that individually labels each I/O command as either ransomware or benign activity. This labeling enables the use of advanced sequential models, which we show to outperform existing state-of-the-art models by up to 82% in data loss prevention. Additionally, this allows us to create new tasks, such as data recovery, by selectively reverting only the commands recognized as ransomware while preserving benign activity. The CLEAR dataset also includes supplementary auxiliary features derived from the data, which we demonstrate to improve performance through feature ablation studies. Lastly, a critical aspect of any ransomware detection model is its robustness to new, unseen ransomware variants, as new strains constantly emerge. Therefore, we propose a benchmark based on our dataset to evaluate performance against unknown ransomware samples and illustrate its application across different models.

Applications · Time Series

Félix Chavelli, Paul Boniol, Michaël Thomazo

Time series segmentation is a fundamental task in analyzing temporal data across various domains, from human activity recognition to energy monitoring. While numerous state-of-the-art methods have been developed to tackle this problem, the evaluation of their performance remains critically limited. Existing measures predominantly focus on change point accuracy or rely on point-based metrics such as Adjusted Rand Index (ARI), which fail to capture the quality of the detected segments, ignore the nature of errors, and offer limited interpretability. In this paper, we address these shortcomings by introducing two novel evaluation measures: WARI (Weighted Adjusted Rand Index), a temporal extension of ARI that accounts for the position of segmentation errors, and SMS (State Matching Score), a fine-grained metric that identifies and scores four distinct and fundamental types of segmentation errors while allowing error-specific weighting. We empirically validate WARI and SMS on synthetic and real-world benchmarks, showing that they not only provide a more accurate assessment of segmentation quality but also uncover insights, such as error provenance and type, that are inaccessible with traditional measures.

Applications · Time Series

Hossein Babaei, Mel White, Sina Alemohammad, Richard Baraniuk

State-Space Models (SSMs) have proven to be powerful tools for online function approximation and for modeling long-range dependencies in sequential data. While recent methods such as HiPPO have demonstrated strong performance using a few polynomial bases, they remain limited by their reliance on closed-form solutions for specific, well-behaved bases. The SaFARi framework generalizes this approach, enabling the construction of SSMs from arbitrary frames, including non-orthogonal and redundant ones, thus allowing an infinite diversity of possible "species'' within the SSM family. In this paper, we introduce WaLRUS (Wavelets for Long-range Representation Using SSMs), a new species of SaFARi built from Daubechies wavelet frames. We instantiate two variants, scaled-Walrus and translated-Walrus, and show that their multiresolution and localized nature offers significant advantages in representing non-smooth and transient signals. We compare Walrus to HiPPO-based models and demonstrate improved accuracy, better numerical properties, and more efficient implementations for online function approximation tasks.

Applications · Time Series

Lifan Zhao, Yanyan Shen, Zhaoyang Liu, xue wang, Jiaji Deng

Scaling laws motivate the development of Time Series Foundation Models (TSFMs) that pre-train vast parameters and achieve remarkable zero-shot forecasting performance. Surprisingly, even after fine-tuning, TSFMs cannot consistently outperform smaller, specialized models trained on full-shot downstream data. A key question is how to realize effective adaptation of TSFMs for a target forecasting task. Through empirical studies on various TSFMs, the pre-trained models often exhibit inherent sparsity and redundancy in computation, suggesting that TSFMs have learned to activate task-relevant network substructures to accommodate diverse forecasting tasks. To preserve this valuable prior knowledge, we propose a structured pruning method to regularize the subsequent fine-tuning process by focusing it on a more relevant and compact parameter space. Extensive experiments on seven TSFMs and six benchmarks demonstrate that fine-tuning a smaller, pruned TSFM significantly improves forecasting performance compared to fine-tuning original models. This ``prune-then-finetune'' paradigm often enables TSFMs to achieve state-of-the-art performance and surpass strong specialized baselines. Source code is made publicly available at \url{https://github.com/SJTU-DMTai/Prune-then-Finetune}.

Zijian Li, Changze Zhou, Minghao Fu, Sanjay Manjunath, Fan Feng, Guangyi Chen, Yingyao Hu, Ruichu Cai, Kun Zhang

This paper is concerned with online time series forecasting, where unknown distribution shifts occur over time, i.e., latent variables influence the mapping from historical to future observations. To develop an automated way of online time series forecasting, we propose a Theoretical framework for Online Time-series forecasting (TOT in short) with theoretical guarantees. Specifically, we prove that supplying a forecaster with latent variables tightens the Bayes risk—the benefit endures under estimation uncertainty of latent variables and grows as the latent variables achieve a more precise identifiability. To better introduce latent variables into online forecasting algorithms, we further propose to identify latent variables with minimal adjacent observations. Based on these results, we devise a model-agnostic blueprint by employing a temporal decoder to match the distribution of observed variables and two independent noise estimators to model the causal inference of latent variables and mixing procedures of observed variables, respectively. Experiment results on synthetic data support our theoretical claims. Moreover, plug-in implementations built on several baselines yield general improvement across multiple benchmarks, highlighting the effectiveness in real-world applications.

Applications · Time Series

Maurice Kraus, Felix Divo, Devendra Singh Dhami, Kristian Kersting

Time series data is prevalent across numerous fields, necessitating the development of robust and accurate forecasting models. Capturing patterns both within and between temporal and multivariate components is crucial for reliable predictions. We introduce xLSTM-Mixer, a model designed to effectively integrate temporal sequences, joint time-variate information, and multiple perspectives for robust forecasting. Our approach begins with a linear forecast shared across variates, which is then refined by xLSTM blocks. They serve as key elements for modeling the complex dynamics of challenging time series data. xLSTM-Mixer ultimately reconciles two distinct views to produce the final forecast. Our extensive evaluations demonstrate its superior long-term forecasting performance compared to recent state-of-the-art methods while requiring very little memory. A thorough model analysis provides further insights into its key components and confirms its robustness and effectiveness. This work contributes to the resurgence of recurrent models in forecasting by combining them, for the first time, with mixing architectures.

Applications · Time Series

Long Li, Wanghu Chen, Wencheng Zhang, Shi Yuan, Hongle Guo

Unsupervised anomaly detection of multivariate time series remains challenging in complex nonstationary dynamics, due to the high false-positive rates and limited interpretability. We propose PhysDiff, combining physics-guided decomposition with diffusion-based reconstruction, to address these issues. The physics-guided signal decomposition is introduced to disentangle overlapping dynamics by isolating high frequency oscillations and low frequency trends, which can reduce interference and provide meaningful physical priors. The reconstruction through conditional diffusion modeling captures deviations from learned normal behavior, making anomalies more distinguishable. Notably, PhysDiff introduces an amplitude-sensitive permutation entropy criterion to adaptively determine the optimal decomposition depth, and automatically extract adaptive frequency components used as explicit physics-based constraints for the diffusion process. Furthermore, the proposed conditional diffusion network employs a dual-path conditioning mechanism that integrates high-frequency and low-frequency physical priors, dynamically regulating the denoising process via a novel time frequency energy routing mechanism. By weighting reconstruction errors across frequency bands, our method improves anomaly localization and enhances interpretability. Extensive experiments on five benchmark datasets and two NeurIPS-TS scenarios demonstrate that PhysDiff outperforms 18 state-of-the-art baselines, with average F1-score improvements on both standard and challenging datasets. Experimental results validate the advantages of combining principled signal decomposition with diffusion-based reconstruction for robust, interpretable anomaly detection in complex dynamic systems.

David Dai, Peilin Chen, Chanakya Ekbote, Paul Liang

Clinical decision‑making routinely demands reasoning over heterogeneous data, yet existing multimodal language models (MLLMs) remain largely vision‑centric and fail to generalize across clinical specialties. To bridge this gap, we introduce QoQ-Med-7B/32B, the first open generalist clinical foundation model that jointly reasons across medical images, time‑series signals, and text reports. QoQ-Med is trained with Domain‑aware Relative Policy Optimization (DRPO), a novel reinforcement‑learning objective that hierarchically scales normalized rewards according to domain rarity and modality difficulty, mitigating performance imbalance caused by skewed clinical data distributions. Trained on 2.61 million instruction tuning pairs spanning 9 clinical domains, we show that DRPO training boosts diagnostic performance by 43% in macro‑F1 on average across all visual domains as compared to other critic-free training methods like GRPO. Furthermore, with QoQ-Med trained on intensive segmentation data, it is able to highlight salient regions related to the diagnosis, with an IoU 10x higher than open models while reaching the performance of OpenAI o4-mini. To foster reproducibility and downstream research, we release (i) the full model weights, (ii) the modular training pipeline, and (iii) all intermediate reasoning traces.

Applications · Time Series

Renzhao Liang, Sizhe Xu, Chenggang Xie, Jingru Chen, Feiyang Ren, Shu Yang, Takahiro Yabe

Time series forecasting plays a pivotal role in critical domains such as energy management and financial markets. Although deep learning-based approaches (e.g., MLP, RNN, Transformer) have achieved remarkable progress, the prevailing "long-sequence information gain hypothesis" exhibits inherent limitations. Through systematic experimentation, this study reveals a counterintuitive phenomenon: appropriately truncating historical data can paradoxically enhance prediction accuracy, indicating that existing models learn substantial redundant features (e.g., noise or irrelevant fluctuations) during training, thereby compromising effective signal extraction. Building upon information bottleneck theory, we propose an innovative solution termed Adaptive Masking Loss with Representation Consistency (AMRC), which features two core components: 1) Dynamic masking loss, which adaptively identified highly discriminative temporal segments to guide gradient descent during model training; 2) Representation consistency constraint, which stabilized the mapping relationships among inputs, labels, and predictions. Experimental results demonstrate that AMRC effectively suppresses redundant feature learning while significantly improving model performance. This work not only challenges conventional assumptions in temporal modeling but also provides novel theoretical insights and methodological breakthroughs for developing efficient and robust forecasting models. We have made our code available at \url{https://github.com/MazelTovy/AMRC}.

Applications · Time Series

Payal Mohapatra, Yueyuan Sui, Akash Pandey, Stephen Xia, Qi Zhu

From clinical healthcare to daily living, continuous sensor monitoring across multiple modalities has shown great promise for real-world intelligent decision-making but also faces various challenges. In this work, we argue for modeling such heterogeneous data sources under the multimodal paradigm and introduce a new framework, MAESTRO. We introduce MAESTRO, a novel framework that overcomes key limitations of existing multimodal learning approaches: (1) reliance on a single primary modality for alignment, (2) pairwise modeling of modalities, and (3) assumption of complete modality observations. These limitations hinder the applicability of these approaches in real-world multimodal time-series settings, where primary modality priors are often unclear, the number of modalities can be large (making pairwise modeling impractical), and sensor failures often result in arbitrary missing observations. At its core, MAESTRO facilitates dynamic intra- and cross-modal interactions based on task relevance, and leverages symbolic tokenization and adaptive attention budgeting to construct long multimodal sequences, which are processed via sparse cross-modal attention. The resulting cross-modal tokens are routed through a sparse Mixture-of-Experts (MoE) mechanism, enabling black-box specialization under varying modality combinations. We evaluate MAESTRO against 10 baselines on four diverse datasets spanning three applications, and observe average relative improvements of 4% and 8% over the best existing multimodal and multivariate approaches, respectively, under complete observations. Under partial observations—with up to 40% of missing modalities—MAESTRO achieves an average 9% improvement. Further analysis also demonstrates the robustness and efficiency of MAESTRO's sparse, modality-aware design for learning from dynamic time series.

Applications · Time Series

Zhangdie Yuan, Zifeng Ding, Andreas Vlachos

Forecasting is an important task in many domains. However, existing forecasting benchmarks lack comprehensive confidence assessment, focusing on limited question types, and often consist of artificial questions that do not reflect real-world needs. To address these gaps, we introduce FOReCAst (Future Outcome Reasoning and Confidence Assessment), a benchmark that evaluates models' ability to make predictions and their confidence in them. FOReCAst spans diverse forecasting scenarios involving Boolean questions, timeframe prediction, and quantity estimation, enabling a comprehensive evaluation of both prediction accuracy and confidence calibration for real-world applications.