Organizations: Research & Development Group, Hitachi Ltd., Tokyo, Japan
Abstract
Pretrained time series foundation models (TSFMs) have enabled zero-shot forecasting on unseen target series. However, existing TSFMs often incur high computational cost and provide limited support for diverse variable types, often failing to account for covariates that exogenously influence target variability. To address these challenges, we propose CITRAS-FM, a tiny 7M-parameter TSFM that supports univariate, multivariate, and covariate-informed zero-shot forecasting with real-time CPU inference. Built on a patch-based, decoder-only Transformer, CITRAS-FM introduces Shifted Attention into the cross-variate module to effectively exploit known covariates accessible throughout the forecast horizon. Moreover, to enable covariate-aware pretraining despite the scarcity of covariate-rich corpora, we propose CovSynth, which synthesizes realistic covariates from decomposed components of target series. Experiments on fev-bench, spanning 100 tasks across various settings, demonstrate that CITRAS-FM achieves state-of-the-art zero-shot accuracy among sub-10M TSFMs while delivering sub-0.1-second CPU inference, offering a strong balance between forecasting accuracy and real-time deployability.
Inspired by recent breakthroughs in large language models for natural language processing, foundation models have emerged as a promising paradigm for zero-shot time series forecasting, enabling accurate predictions on datasets never seen during pre-training. Ranging from tens to hundreds of millions of parameters, these models are pre-trained on vast and diverse collections of time series, learning generalizable representations that support both point and probabilistic forecasting. This approach alleviates the need for dataset-specific model design and manual tuning, offering a unified solution across forecasting problems. In this work, we review the main architectures, pre-training strategies, and optimization methods underpinning these models. We further investigate post-pre-training fine-tuning of selected foundation models to enhance their performance on specific datasets. Our empirical results demonstrate that this step consistently improves forecasting accuracy over the zero-shot baseline.
We introduce TiRex-2, a recurrent xLSTM-based time series foundation model that generalizes the univariate TiRex to multivariate forecasting with both past and future covariates. Real-world forecasting is inherently sequential: observations arrive continuously, variables evolve jointly, and a subset of covariates is known ahead of time. Existing Transformer-based time series foundation models capture cross-variate dependencies but incur quadratic complexity in context length and require full-history recomputation as new observations arrive. TiRex-2 addresses these limitations through a memory-centric recurrent design that operates at constant per-patch cost under streaming. The model combines a bidirectional time mixer with an asymmetric grouped-attention variate mixer, enabling the integration of future-known covariates while preserving strict causality over target variables. To our knowledge, this is the first time series foundation model that achieves this combination of properties. To support scalable multivariate pretraining, we propose a synthetic coupling pipeline that composes diverse multivariate samples on the fly from large univariate corpora. Empirically, TiRex-2 achieves state-of-the-art zero-shot performance on GIFT-Eval and fev-bench, remains stable when streamed to arbitrary context lengths, and maintains constant inference cost per patch. The model uses 38.4M active parameters in univariate mode, with an additional 44.1M parameters activated for multivariate forecasting.
Time series foundation models (TSFMs) have recently achieved strong zero-shot forecasting performance through large-scale pretraining and retrieval-augmented prediction. However, our empirical analysis reveals a non-trivial limitation of retrieval-based forecasting: retrieval tends to induce more oscillatory predictions, improving performance on highly fluctuating series while degrading accuracy on smoother, trend-dominated ones. This suggests that retrieved information may be fused into prediction without explicitly distinguishing stable temporal structure from instance-specific variations, which can reduce robustness under distribution shifts. We propose a Retrieval-guided Invariant-Dynamic DEcomposition framework for time series forecasting. Rather than using retrieval as auxiliary predictive context, we leverage retrieved sequences as implicit samples from related environments to guide representation decomposition. Specifically, we first construct a retrieval-aware representation via attention-based aggregation, and then introduce a retrieval-guided routing mechanism to decompose it into an invariant component capturing stable shared structure and a dynamic component modeling context-dependent variations. These two components are forecast separately and fused for final prediction, enabling the model to preserve transferable patterns while remaining adaptive to evolving dynamics. We further design training objectives that encourage invariant learning and disentanglement, and provide theoretical insight showing that retrieval aggregation reduces variance and approximates invariant representation learning without explicit environment supervision. Extensive experiments demonstrate that our method consistently improves robustness under distribution shifts and outperforms existing TSFMs and retrieval-based baselines in zero-shot forecasting settings.