Time-Series Foundation Models That Understand Data Revisions

Time-series foundation models can forecast across heterogeneous domains without task-specific training, but their forecasts are fixed once produced and cannot directly incorporate task-specific expert feedback. We study expert-guided forecast editing: a frozen foundation model generates candidate future trajectories, and an expensive expert evaluator scores them to guide forecast revision. Under a tight query budget, two natural strategies sit at opposite ends: best-of-$N$ purely exploits the foundation model's predictive distribution, while optimization approaches mostly explore the forecast horizon as an unstructured high-dimensional vector. Each extreme is individually sub-optimal. We introduce \textbf{DEFT}, an expert-guided forecast editing framework that balances the two by first exploiting the foundation model's predictive samples in a decomposed trend--seasonal space, then exploring around them via component-wise refinement. DEFT queries the expert only on complete trajectories, then reuses scores for the trend and seasonal components that appeared in the queried recombinations. This lets each expert query provide structured component-level feedback while keeping the foundation model frozen. We compare DEFT against direct search approaches, including best-of-$N$, cross-entropy methods, and Bayesian optimization, under matched expert-query budgets. Across two forecasting benchmarks consisting of 78 datasets, three time-series foundation models, four feedback types, and seven query budgets, DEFT consistently improves the effectiveness of expert guidance. A molecular-dynamics case study further suggests that the same principle extends to more physically grounded feedback, supporting the hypothesis that sparse test-time guidance should be spent balancing prior exploitation with structured exploration.

We introduce MACROCAST, a lightweight Time Series Foundation Model (TSFM) for real-time macroeconomic forecasting. Existing TSFMs suffer from data leakage in two forms: temporal contamination, as the model may have seen the realized values of the series it forecasts, and revision bias, as training on fully revised data diverges from the preliminary, vintage-specific releases available to real-time forecasters. MACROCAST is, to our knowledge, the first TSFM that rules out both forms of leakage entirely: at no stage of training is the model exposed to information that would not have been available to a forecaster in real time. We train MACROCAST first on purely synthetic time series in approximately one GPU-day and then fine-tune it on synthetic time series drawn from Bayesian VARs, dynamic factor models, and ARIMA specifications estimated on vintage-specific ALFRED data. Because pretraining uses only simulated data and fine-tuning uses only real-time vintages, no observed future or revised value ever enters the model; each fine-tuning run takes nine minutes. Evaluated on the FRED-MD database in a genuine real-time out-of-sample exercise, MACROCAST improves on the AR(1) benchmark for roughly 80% of series-horizon pairs, matches or surpasses Chronos-2 -- the strongest currently available TSFM -- and outperforms the Bayesian VAR and dynamic factor model benchmarks, all in a data-leakage-free manner.

Time series foundation models (TSFMs) are increasingly pretrained on large corpora, raising concerns that evaluation datasets may have been exposed during pretraining and thus yield overly optimistic performance estimates. Auditing such contamination is challenging in time series because signals are continuous and heterogeneous, and often lack corpus documentation. To the best of our knowledge, this is the first work to study pretraining contamination auditing for TSFMs. We formalize the problem of pretraining contamination auditing for TSFMs and propose TSFMAudit, a method based on probe adaptation dynamics. Our key intuition is that contamination manifests as unusually efficient adaptation: after a fine tuning probe, contaminated datasets tend to exhibit faster loss reduction with smaller backbone movement. We evaluate TSFMAudit on 6 TSFMs and 187 datasets using documented training source evidence as supervision, and compare against 10 competitive baselines adapted from the LLM literature.