Dynamic Linear Coregionalization for Realistic Synthetic Multivariate Time Series
Organizations: JPMorganChase
Abstract
Synthetic data is essential for training foundation models for time series (FMTS), but most generators assume static correlations, and are typically missing realistic inter-channel dependencies. We introduce DynLMC, a Dynamic Linear Model of Coregionalization, that incorporates time-varying, regime-switching correlations and cross-channel lag structures. Our approach produces synthetic multivariate time series with correlation dynamics that closely resemble real data. Fine-tuning three foundational models on DynLMC-generated data yields consistent zero-shot forecasting improvements across nine benchmarks. Our results demonstrate that modeling dynamic inter-channel correlations enhances FMTS transferability, highlighting the importance of data-centric pretraining.
Figures & tables
| Model | ECL | ETTh1 | ETTh2 | ETTm1 | ETTm2 | Exchange | Solar | Traffic | Weather | Wins |
| TimePFN Backbone | ||||||||||
| Baseline pretrained on KS + LMC | 0.369 | 0.440 | 0.369 | 0.483 | 0.298 | 0.226 | 1.063 | 0.596 | 0.297 | – |
| Fine-tuned (KS + LMC + DynLMC - Drift) | 0.371 | 0.436 | 0.374 | 0.496 | 0.299 | 0.225 | 1.077 | 0.596 | 0.297 | 2 |
| Fine-tuned (KS + LMC + DynLMC - Lag) | 0.456 | 0.459 | 0.382 | 0.529 | 0.321 | 0.229 | 0.967 | 0.666 | 0.300 | 1 |
| Fine-tuned (KS + LMC + DynLMC - Regime Shift) | 0.360 | 0.438 | 0.369 | 0.492 | 0.301 | 0.229 | 1.009 | 0.593 | 0.301 | 4 |
| Fine-tuned (KS + LMC + DynLMC - Combined) | 0.356 | 0.437 | 0.367 | 0.476 | 0.297 | 0.228 | 1.021 | 0.596 | 0.294 | 7 |
Appendix figures & tables4 assets
Supplementary material from the paper’s appendix.
Appendix
| Model | ECL | ETTh1 | ETTh2 | ETTm1 | ETTm2 | Exchange | Solar | Traffic | Weather | Wins |
|---|---|---|---|---|---|---|---|---|---|---|
| TimePFN Backbone | ||||||||||
| Fine-tuned (KernelSynth + LMCSynth + DynLMC - Combined) | 0.356 | 0.437 | 0.367 | 0.476 | 0.297 | 0.228 | 1.021 | 0.596 | 0.294 | - |
| Fine-tuned (KernelSynth + LMCSynth + DynLMC - Combined BO) | 0.378 | 0.440 | 0.363 | 0.502 | 0.294 | 0.226 | 0.882 | 0.592 | 0.270 | 6 |