Time Series Forecasting Benchmarks Need Scenario-Grounded Stress Testing

Time series forecasting (TSF) underpins consequential decisions in energy, transportation, finance, and healthcare, yet TSF models are almost universally ranked by a single number (e.g., average error) on clean held-out data, under the implicit assumption that it predicts deployed reliability. However, real faults are not i.i.d noise but structured events with temporal shape, broken cross-variable dependencies, regime change coupled with missingness, and causal propagation across a sensing pipeline. Treating TSF robustness as a data-quality problem, we present TS-Fault, a benchmark that evaluates forecasting models under explicit, parameterized fault scenarios with controllable semantic difficulty. TS-Fault organizes recurring failures into four modes along two orthogonal axes (observation- vs mechanism-level; univariate vs multivariate) and injects each fault into the most prediction-critical window via a unified importance score. This design enables robustness to be tested against the structures models actually rely on, rather than reduced to generic noise sensitivity. We evaluate 21 models across 6 datasets, 4 modes, and 5 difficulty levels under a paired clean/corrupt protocol. The results reveal three findings that contradict common leaderboard intuition: (i) clean-data accuracy anti-correlates with robustness; (ii) clean rankings are preserved under observation-level faults but reshuffled under mechanism-level faults; and (iii) all catastrophic failures occur under mechanism-level faults, with foundation models achieving the highest clean-data accuracy yet exhibiting the greatest fragility. The code is publicly available at https://github.com/Ray-zyy/TS-Fault.

Standard benchmarks evaluate time series foundation models (TSFMs) using aggregate metrics, but these can mask severe failures in critical operating regimes. We introduce regime-stratified evaluation and apply it to three TSFMs on two standard traffic speed benchmarks. Traffic exhibits abrupt regime switching between free-flow and congested states, producing bimodal speed distributions during transitions. When we stratify by traffic regime, both accuracy and prediction-interval coverage degrade sharply during transitions: transition-regime MAE reaches 11 mph (versus 3 mph overall), and empirical coverage of 90% prediction intervals drops as low as 55%. These failures are invisible in aggregate metrics because free-flow observations dominate the sample. A simple historical conditional baseline (sampling from per-sensor training distributions) achieves better transition coverage than any TSFM, but has far worse overall accuracy. We propose bimodal mixture augmentation (BMA), a post-hoc method that combines TSFM forecasts with historical distributional knowledge, approaching the historical baseline's transition coverage while preserving the TSFM's accuracy. Our results suggest that TSFM benchmarks should incorporate regime-aware evaluation to surface failures that aggregate metrics hide.

Foundation models have transformed natural language processing and computer vision, and a rapidly growing literature on time-series foundation models (TSFMs) seeks to replicate this success in forecasting. While recent open-source models demonstrate the promise of TSFMs, the field lacks a comprehensive and community-accepted model evaluation framework. We see at least four major issues impeding progress on the development of such a framework. First, existing evaluation frameworks comprise benchmark forecasting tasks derived from often outdated datasets (e.g., M3), many of which lack clear metadata and overlap with the corpora used to pre-train TSFMs. Second, these frameworks evaluate models along a narrowly defined set of benchmark forecasting tasks, such as forecast horizon length or domain, but overlook core statistical properties such as non-stationarity and seasonality. Third, domain-specific models (e.g., XGBoost) are often compared unfairly, as existing frameworks do not enforce a systematic and consistent hyperparameter tuning convention for all models. Fourth, visualization tools for interpreting comparative performance are lacking. To address these issues, we introduce TempusBench, an open-source evaluation framework for TSFMs. TempusBench consists of 1) new datasets which are not included in existing TSFM pretraining corpora, 2) a set of novel benchmark tasks that go beyond existing ones, 3) a model evaluation pipeline with a standardized hyperparameter tuning protocol, and 4) a tensorboard-based visualization interface. We provide access to our code on GitHub: https://github.com/Smlcrm/TempusBench and maintain a live leaderboard at https://smlcrm.com/tempusbench.