Unified Long-Term Time-Series Forecasting Benchmark

Code

• github.com/MIMUW-RL/Unified-Long-Horizon-Time-Series-Benchmark
  Officialpytorch★ 18

Abstract

In order to support the advancement of machine learning methods for predicting time-series data, we present a comprehensive dataset designed explicitly for long-term time-series forecasting. We incorporate a collection of datasets obtained from diverse, dynamic systems and real-life records. Each dataset is standardized by dividing it into training and test trajectories with predetermined lookback lengths. We include trajectories of length up to 2000 to ensure a reliable evaluation of long-term forecasting capabilities. To determine the most effective model in diverse scenarios, we conduct an extensive benchmarking analysis using classical and state-of-the-art models, namely LSTM, DeepAR, NLinear, N-Hits, PatchTST, and LatentODE. Our findings reveal intriguing performance comparisons among these models, highlighting the dataset-dependent nature of model effectiveness. Notably, we introduce a custom latent NLinear model and enhance DeepAR with a curriculum learning phase. Both consistently outperform their vanilla counterparts.

Tasks

Reproductions