GNA: Granular Neighbor Assembly for Retrieval-Augmented Multivariate Time-Series Forecasting

Retrieval-augmented time-series forecasting uses the continuations of historical segments similar to the current context as references for a forecaster. Most existing methods build the retrieval memory once from the training segment, leaving observations revealed after deployment unavailable as references, and generally do not calibrate how much the retrieved information should influence a frozen forecaster. We identify two key determinants of retrieval utility for a frozen forecaster: whether the history still reflects the current state, and whether the correction it induces aligns with the forecaster's residual errors, an alignment that can shift between validation and deployment when the memory becomes stale. We propose FreshCast, a plug-in retrieval framework that keeps the forecaster frozen, continuously updates a non-parametric memory with new observations, forms a memory forecast through relational kernel regression, and calibrates its weight in closed form on the validation segment. Under a simplified generative model, we characterize the optimal combination gain through the second-order relation between forecaster error and memory correction, and show that a sufficiently long look-back can make periodic memory information redundant. Across seven benchmarks and ten forecasting architectures, FreshCast reduces average MSE for every evaluated forecaster and input length, by 14.6% and 5.6% at input lengths 96 and 720, and achieves lower MSE than the evaluated retrieval-augmented and online baselines in their comparison settings. Ablations show that freezing the memory at the end of training removes most of the gain, identifying post-training observations as a primary source of improvement. For a frozen forecaster, useful historical references must remain timely and provide information that helps correct its remaining errors.

Retrieval-augmented generation (RAG) complements parametric models with retrieved external evidence. The same idea is attractive for continuous-output regression, but directly reusing retrieved target values is often not robust when samples differ in output level, numerical scale, or local dynamics. Moreover, conventional forecasting pipelines generally use residuals for model optimization and error diagnosis, but do not retain individual historical residual examples as memory that can be accessed at inference time.For multivariate time-series forecasting, we propose RATL, a plug-in residual-retrieval and feedback-correction method. RATL freezes a base forecaster to construct retrieval keys and turns its historical forecast residuals into a train-only memory specific to that base model. At inference time, RATL retrieves residual trajectories from similar historical contexts subject to causal availability constraints, then uses a set-aware router operating over forecast blocks and variables to select and combine these trajectories. Experiments show that historical residuals matched to the current context contain reusable forecasting information and that RATL improves frozen base forecasters in most experimental settings. Ablations further show that learned routing strengthens raw residual feedback, while validation-based correction-strength selection limits residual over-injection.On real-world benchmarks, we use iTransformer as the primary frozen base forecaster, compare against multiple strong forecasting baselines, and test transferability across backbones. The results show that RATL can further improve base-forecaster performance in most settings.Overall, RATL shifts the retrieved object from historical target values to base-model-specific historical forecast errors, providing a plug-in, residual-memory-based paradigm for learned feedback correction in continuous-output forecasting.

Retrieval-augmented forecasting promises to adapt frozen Time Series Foundation Models (TSFMs) to new domains without fine-tuning, but recent methods typically rely on learned fusion modules, i.e., trained adapters that merge retrieved examples into the backbone's forecast, based on the assumption that frozen backbones cannot dynamically incorporate retrieved context on their own. We show this assumption is unnecessary. We introduce Align-RAG, a training-free method that applies a closed-form per-pair amplitude rescaling and integer-lag phase shift to retrieved past-future windows before they enter a frozen backbone's context. With no learned parameters, Align-RAG outperforms the state-of-the-art trained retrieval adapter on a frozen Chronos-Bolt on all seven datasets of the standard benchmark (avg -3.75% MSE), showing that the gains previously attributed to learned fusion are recoverable without any training. Align-RAG further improves zero-shot MSE on four additional frozen TSFMs with various architectures by 2.5% to 13.7% per backbone with no per-backbone tuning. To probe why alignment helps, we compare the frozen backbone's prediction shift under aligned demonstrations to the closed-form ridge prediction shift on the same pairs. We find that aligned demonstrations induce prediction shifts that track a closed-form ridge predictor on the same pairs, with a future-shuffle control ruling out a futures-averaging account. Together, these results indicate that frozen TSFMs already support dynamic in-context use of retrievals, and that closed-form alignment should be the default baseline for retrieval-augmented forecasting before any fusion module is trained. Code available at: https://github.com/masadi-99/align-rag