In-context Pre-trained Time-Series Foundation Models adapt to Unseen Tasks
Organizations: Georgia Institute of Technology, Atlanta, GA, USA
Abstract
Time-series foundation models (TSFMs) have demonstrated strong generalization capabilities across diverse datasets and tasks. However, existing foundation models are typically pre-trained to enhance performance on specific tasks and often struggle to generalize to unseen tasks without fine-tuning. To address this limitation, we propose augmenting TSFMs with In-Context Learning (ICL) capabilities, enabling them to perform test-time inference by dynamically adapting to input-output relationships provided within the context. Our framework, In-Context Time-series Pre-training (ICTP), restructures the original pre-training data to equip the backbone TSFM with ICL capabilities, enabling adaptation to unseen tasks. Experiments demonstrate that ICT improves the performance of state-of-the-art TSFMs by approximately 11.4% on unseen tasks without requiring fine-tuning.
Figures & tables
| Backbone | Evaluated on | ICTP | ETTh1 | ETTm1 | Exchange | Weather | PEMS-Bay | METR-LA | ||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| MSE | MAE | MSE | MAE | MSE | MAE | MSE | MAE | MSE | MAE | MSE | MAE | |||
| MOMENT | Forecasting | No | 0.813 | 0.629 | 0.724 | 0.588 | 0.228 | 0.285 | 0.215 | 0.345 | 2.623 | 0.899 | 1.291 | 0.765 |
| Yes | 0.433 | 0.458 | 0.496 | 0.541 | 0.236 | 0.279 | 0.163 | 0.206 | 1.625 | 0.595 | 1.169 | 0.728 | ||
| BackTracing | No | 0.834 | 0.643 | 0.75 | 0.595 | 0.229 | 0.289 | 0.222 | 0.354 | 2.594 | 0.915 | 1.284 | 0.767 | |
| Yes | 0.439 | 0.454 | 0.502 | 0.527 | 0.241 | 0.305 | 0.165 | 0.254 | 1.773 | 0.613 | 1.315 | 0.780 | ||
| TimesFM | BackTracing | No | 0.518 | 0.464 | 0.402 | 0.427 | 0.118 | 0.238 | 0.182 | 0.207 | 2.993 | 0.879 | 1.477 | 0.742 |
| Backbone | Evaluated on | ICTP | ETTh1 | ETTm1 | Exchange | Weather | PEMS-Bay | METR-LA | ||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| MSE | MAE | MSE | MAE | MSE | MAE | MSE | MAE | MSE | MAE | MSE | MAE | |||
| MOMENT | Forecasting | No | 0.938 | 0.691 | 0.849 | 0.644 | 0.337 | 0.365 | 0.506 | 0.547 | 2.247 | 0.821 | 1.336 | 0.780 |
| Yes | 0.514 | 0.527 | 0.618 | 0.544 | 0.332 | 0.345 | 0.357 | 0.427 | 2.198 | 0.698 | 1.310 | 0.760 | ||
| BackTracing | No | 0.944 | 0.704 | 0.886 | 0.654 | 0.337 | 0.358 | 0.556 | 0.581 | 2.296 | 0.861 | 1.319 | 0.797 | |
| Yes | 0.526 | 0.512 | 0.603 | 0.531 | 0.330 | 0.347 | 0.402 | 0.495 | 2.593 | 0.847 | 1.211 | 0.728 | ||
| TimesFM | BackTracing | No | 0.584 | 0.509 | 0.496 | 0.467 | 0.278 | 0.361 | 0.238 | 0.277 | 3.315 | 0.966 | 1.755 | 0.836 |
Time-Series Foundation Models
Time-series foundation models are pretrained sequence models designed to transfer across forecasting, classification, anomaly detection, and other temporal tasks.
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