Time Series Forecasting with Covariates

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19 papers8 papers in the last four weeks, with none the four weeks before. 0.0% of all new papers.

Oct 19, 2026

WhatIf-Bench: Benchmarking Intervention-Aware Time Series Forecasting

Recent time series foundation models (TSFMs) can consume covariates in-context, extending zero-shot forecasting to problems driven by external factors. This enables scenario analysis: forecasting how a target responds to events that set covariates to chosen future values. Whether they can do this reliably is an open question. We introduce WhatIf-Bench, a benchmark measuring how well forecasters use covariates to forecast a target's response to future events. WhatIf-Bench is semi-synthetic: time series come from mechanistic simulators of data centers, power grids, road traffic, and water networks, with controlled covariate-target relationships grounded in each system. Each task presents a history of events intervening on covariates, then asks to forecast a future event that either replays seen values (Replay) or sets them to unseen ones (Novel). Varying the number of covariates, historical events, and event length yields 37,665 tasks. Evaluating TSFMs, frontier LLMs, and simple regression baselines, we find the LLMs reach the highest skill (improvement over a naive baseline), ahead of the best TSFMs. Every model forecasts well on Replay futures (48 to 85% skill) but drops to -7 to 50% on Novel futures, with the regression baselines falling the most. Skill on Novel futures also falls as events set more covariates jointly. More historical events raise skill on Novel futures across the board, but large differences remain. WhatIf-Bench reveals generalization to Novel futures as the core challenge, and offers a testbed toward arbitrary scenario analysis.

Arjun Ashok, Mihir Parmar, Palash Goyal +6

Google · Mila - Quebec AI Institute · Université de Montréal +1

Time Series Forecasting Time Series Forecasting with Covariates Forecasting Benchmarks Time-Series Foundation Models Zero-Shot Time Series Forecasting

Oct 18, 2026

Multi-site Learning for Forecasting Day-Ahead Wind-Power Production for Onshore Wind Farms in Great Britain with Deep Neural Networks

Accurate day-ahead wind-power production forecasting is increasingly important for energy system operations, market activity and balancing Great Britain's grid as wind generation grows. In this study, we train multi-site deep neural networks (DNNs) using pooled historical production and reanalysis weather data from 88 onshore wind Balancing Mechanism Units (BMUs). Forecasts are produced at 09:00 UK time for the following midnight-to-midnight delivery day, matching NESO's operational day-ahead forecasting schedule. We use reanalysis weather as future covariates during training and numerical weather prediction (NWP) forecasts during inference, extending training beyond the available historical NWP archive. Our multi-site recurrent neural network outperforms site-specific RNNs and a multi-site XGBoost model, while processing the full future-weather trajectory for the forecast horizon further improves accuracy relative to hour-aligned approaches. Our best model, an RNN with a bidirectional weather encoder (BiRNN) for NWP trajectory processing, reduces MW mean absolute error and root mean squared error relative to NESO by 17.94% and 12.51%, respectively, across 638,246 matched BMU-hour observations under conditions approximating unconstrained wind farm operations. In 40 leave-one-out trials, the BiRNN achieves lower MAE than NESO at 32 excluded sites, indicating transferable forecasting ability despite reduced accuracy when sites are omitted from training. Our capacity-estimation, data-cleaning and reanalysis-based training approach provides a basis for scaling NWP-aware multi-site forecasting to additional wind farms, longer production histories, and increased forecast accuracy beyond that seen in this study.

James Kean, Aidan O'Sullivan

UCL Energy Institute, University College London

Wind Power Forecasting Time Series Forecasting Time Series Forecasting with Covariates Recurrent Neural Networks

Oct 18, 2026

Data-driven forecasting of tropical cloud forest phenology: A dynamical systems and machine learning hybrid approach

Forecasting how species and ecosystems respond to climate change is a critical challenge in ecology, particularly in hyper-diverse tropical biomes. While traditional phenological models often rely on preconceived functional forms, this study introduces a data-driven hybrid approach that integrates dynamical systems theory with machine learning to forecast flowering and fruiting cycles. Using a robust 35-year dataset from a Venezuelan tropical cloud forest, we reconstruct the system's state-space using delay vectors inspired by Takens' theorem, incorporating climate forcing variables such as temperature and precipitation. The model was trained using Gaussian Process Regression, providing both point predictors and explicit uncertainty estimates. Our results clearly suggest that the synergy between dynamical systems and machine learning effectively captures the non-linear complexities of ecological time series. Specifically, the model achieved higher predictive accuracy for flowering and fruiting. This hybrid framework offers a scalable tool for anticipating phenological mismatches and informing conservation strategies in the face of global environmental change.

Pedro Garcia, Saul Flores

Departamento de Física, Facultad de Ingeniería, Universidad Católica Andrés Bello, Caracas, Venezuela · Laboratorio de Ecología de Suelos, Centro de Ecología, Instituto Venezolano de Investigaciones Científicas, Caracas, Venezuela

Time Series Forecasting Time Series Forecasting with Covariates Probabilistic Time Series Forecasting

Oct 18, 2026

World Models, Trees and Foundation Models for Retail Forecasting: Evidence from Four Public Data Sets

A retailer makes different decisions at different grains of the product, store and time hierarchy: store orders for an item in a store, supplier funding for an item across stores, category performance by store, and the financial plan for the chain. Which forecasting model to use depends on the grain. This paper compares models at each grain on four public data sets (M5, six Dominick's categories, Breakfast at the Frat, and Corporación Favorita, the last kept out of all development), over rolling forecast origins with paired tests and model confidence sets. It covers price and promotion through the plan inputs these data record, not product, assortment or place. The models are a world model that carries each item's state forward under the price and promotion plan, the same network without that state, LightGBM, the Temporal Fusion Transformer, TimesFM, Chronos-Bolt, Timestral, seasonal naive, and an equal-weight average of the world model, LightGBM and TimesFM given the plan. The answer changed with the grain. For an item by store and an item across stores, the average had the lowest error on seven and eight of nine data sets, and the 90% confidence set held a median of 1 and 2 models. For a category by store, a category and the chain total, the lowest-error model differed between data sets and a median of 4 of nine models were not separated by the four to six windows available. For category-by-store planning cost, the average or LightGBM was lowest on seven of eight data sets, and the world model was lowest only on M5; it was behind LightGBM item by store on six of eight. Every trained model used the plan, and on the weekly promotion-driven data pretrained models were less accurate without it. These results hold for these data sets; a forecast solved across all four Ps, or a retailer's own data, may give different results. Every model, test and change that lost is reported.

Karthik Iyer, Madan Dabbeeru

Time Series Forecasting Time Series Forecasting with Covariates Forecasting Benchmarks Time-Series Foundation Models

Oct 9, 2026

On the Encoding of Calendar Features in Covariate-Informed Time Series Foundation Models

Time series foundation models (TSFMs) increasingly offer covariate support, with calendar information being the most common type of categorical covariate in practice, as it is available for every point in time. However, how these features are encoded is largely treated as an implementation detail rather than as an object of study, despite encoding being one of the few design choices left for pretrained models at inference time. With the present study, we demonstrate that the way information is propagated into the model substantially affects forecast accuracy of TSFMs. Therefore, we systematically compare seven calendar encodings, including three conventional target-agnostic representations (ordinal, one-hot, and cyclic) and four target encodings, across four state-of-the-art TSFMs on nine datasets from multiple domains in a zero-shot rolling evaluation. The nine datasets are influenced by social activities, such as weekends and holidays, making calendar information particularly relevant for forecasting. We find that encoding choice affects forecast accuracy across all models, with MASE differences of up to 9.9 % on non-holidays and 83 % on holidays within a single model. Effectiveness and utilization vary substantially across models. Improvements are concentrated around holidays, where calendar information provides signals unavailable from target history, while some model encoding combinations also improve non-holiday forecasts. A SHAP-based attribution analysis locates the contribution of the covariates relative to the autoregressive component and explains why some model-encoding combinations degrade performance. Our findings suggest that current benchmarks for covariate-informed TSFMs can distort model comparisons by imposing fixed encoding strategies.

Alexander Kreusel, Maximilian Beichter, Alexandra Nikoltchovska +4

Institute for Automation and Applied Informatics Karlsruhe Institute of Technology Karlsruhe, Germany

Time Series Forecasting with Covariates Time Series Forecasting Time-Series Foundation Models Time Series Representation Learning

Sep 29, 2026

JudgeCast: Time Series Forecasting with Experience-Informed Covariate Judgements

Covariate effects vary across contexts and shift over time, requiring forecasters to assess how to use them for each forecasting context. As forecasting proceeds, observations for earlier forecasts become available, providing feedback on past covariate use for subsequent forecasts. However, when multiple covariates act together, the forecast error reveals the numerical discrepancy from the observation but not how the covariates should have been used. We introduce JudgeCast, an experience-based framework for time series forecasting with covariates. Following the judgmental adjustment practice, a frozen TSFM provides the base forecast, while a frozen LLM uses the current context and relevant experience to adjust it. Within the adjustment, assessing covariate effects and determining the numerical adjustment serve distinct roles, so JudgeCast first forms explicit covariate-wise judgments and then determines the adjustment. After observation, JudgeCast uses the observed residual of the base forecast to reconstruct alternative judgments and evaluates the original and alternatives through their resulting adjustments. The best-performing decision is selected and retained as validated experience for subsequent forecasts. Across diverse real-world datasets, JudgeCast outperforms strong baselines. Ablations show that explicit covariate-wise judgment can improve forecast-time adjustment, while residual-guided experience construction yields more reliable forecasting gains than retaining raw decisions as experience.

Donguk Kwon, Wooseok Jeong, Dongha Lee

Yonsei University · Konkuk University

Time Series Forecasting Time Series Forecasting with Covariates LLM-Based Time Series Forecasting

Sep 28, 2026

XMatch: Enhancing Covariate-Aware Time Series Forecasting through Tree-Structured Exogenous Matching

Future exogenous variables provide valuable information for forecasting endogenous time series. Existing covariate-aware methods primarily learn the direct influence of exogenous variables on endogenous variables. However, these effects can be complex and change with the pattern of the exogenous variables, making them difficult to capture. Beyond this perspective, we observe that a given exogenous pattern often co-occurs with only a small set of endogenous response patterns. These associations motivate a strategy that matches future and historical exogenous patterns and uses the corresponding endogenous patterns to enhance forecasting. However, in real-world forecasting scenarios with multiple exogenous variables, each exogenous variable provides a distinct dimension for matching, creating a dilemma for this strategy between precise matching and sufficient historical support. To bridge this gap, we propose XMatch (EXogenous MATCHing), a covariate-aware forecasting model that realizes the aforementioned strategy through a tree-structured matching process that adaptively adjusts the number of exogenous variables used as matching conditions. Specifically, we first introduce the ProtoTree Creator, which organizes historical correspondences between exogenous and endogenous patterns into a ProtoTree, whose deeper levels incorporate additional exogenous variables for matching. For forecasting, we then design the ProtoTree Matcher, which uses future exogenous variables to query the ProtoTree and adaptively determines how many exogenous variables to use for matching based on exogenous pattern similarity and historical support. Finally, the matched endogenous patterns are used as explicit historical evidence to enhance forecasting. Extensive experiments on 12 real-world datasets demonstrate that XMatch outperforms state-of-the-art baselines.

Ziyang Zhang, Hanyin Cheng, Xiangfei Qiu +3

East China Normal University

Multivariate Time Series Forecasting Time Series Forecasting Time Series Forecasting with Covariates

Sep 25, 2026

WorldTS: World Modeling for Multimodal Covariate-aware Time Series Forecasting

Time series forecasting is typically framed as learning a direct mapping from historical to future observations in the observation space. However, sequences of observations generally provide only a partial view of the dynamics of the underlying system, with future observations being shaped by latent dynamics. Recent latent-space forecasting methods thus achieve improved performance by predicting future observations from latent-space representations of historical observations rather than directly forecasting future observations in the observation space. Next, while future observations are also shaped by external factors, how to incorporate external, often multimodal, information into forecasting, so that it can shape latent-state formation and evolution directly, remains underexplored. We propose WorldTS, a world-modeling based forecasting framework that integrates multimodal covariates directly into the forecasting to further improve forecasting performance. Specifically, WorldTS employs a two-stage training strategy. First, it learns forecasting-relevant latent state dynamics conditioned on multimodal covariates, yielding encoded future states. Next, the learned state dynamics are frozen, and an observation decoder is trained to map the predicted future states back to future observations. Extensive experiments on 21 real-world datasets offer insight into WorldTS and its effectiveness.

Yuhan Zhu, Xiangfei Qiu, Hanyin Cheng +5

East China Normal University · Aalborg University

Time Series Forecasting with Covariates Time Series Forecasting Multivariate Time Series Forecasting World Model Learning

Sep 21, 2026

$t_0$ : A Time-Series Foundation Model for Forecasting with Context

We present

t_0

, a family of open-weights foundation models for forecasting with multivariate context. We release its first two members:

\texttt{t0-alpha}

and

\texttt{t0-beta}

, respectively 102M and 256M parameters. Both condition their forecasts on target history, past covariates, and known-future covariates, without task-specific retraining. Their transformer layers alternate attention along time and across variates. They produce probabilistic forecasts through quantile predictions. Pretraining combines curated public data with synthetic generator families constructed to contain covariate-to-target dependencies. On GIFT-Eval,

\texttt{t0-alpha}

reaches an aggregate CRPS of 0.4941, and

\texttt{t0-beta}

a CRPS of 0.4738 and a MASE of 0.6865, third on both and within 4.0% of the best zero-shot TSFM. On fev-bench they score 42.2 and 46.7 in skill, the latter third again and 2.0 points behind the leader. We analyze

\texttt{t0-alpha}

in depth. Known-future covariates raise its skill by 6.3 percentage points across 30 tasks. The report also examines its calibration, its rollout strategy on long horizons, and its robustness to missing data. On the Victoria electricity-demand benchmark,

\texttt{t0-beta}

is among the most accurate models with a context of nearly a year. In an independent Macrocosm evaluation of hourly ERCOT prices over 29 months, both cut the MAE of the lagged-price baseline by 38%.

Lucas Meyer, Claudio Sole, Huikan Xiang +6

The Forecasting Company · Macrocosm

Time Series Forecasting Zero-Shot Time Series Forecasting Probabilistic Time Series Forecasting Multivariate Time Series Forecasting Time Series Forecasting with Covariates Time-Series Foundation Models+1

Jul 24, 2026

Hopformer: Homogeneity-Pursuit Transformer for Time Series Forecasting

Forecasting multiple time-series with high-dimensional covariates presents a core challenge: unifying common temporal patterns while retaining meaningful series-specific information. We introduce Hopformer (Homogeneity-Pursuit Transformer), a two-stage framework that addresses this challenge. In the first stage, we perform a Sparsity Pattern Aggregation (SPA) scheme extracting a common low-variance trend that incorporates the covariates. This acts as a homogenization layer. In the second stage, a LoRA-fine-tuned Transformer models the remaining complex dependencies in the residual. Our method is theoretically grounded. We prove that SPA achieves a near-optimal bias-variance trade-off via an oracle inequality. We also provide generalization bounds for the second stage under dependent time series data. Hopformer sets a new state of the art, improving MASE by an average of 6.56% across synthetic and real-world forecasting benchmarks.

Wan Zhang, Qinjie Lin, Chan Lee +3

The AMSS Center of Forecasting Science, Chinese Academy of Sciences, Beijing, China · Department of Computer Science, Northwestern University, Evanston, IL · Department of Statistics and Data Science, Northwestern University, Evanston, IL +1

Multivariate Time Series Forecasting Time Series Forecasting Time Series Transformers Time Series Forecasting with Covariates

Jul 5, 2026

Exogenous Dropout: A Simple, Strong Baseline for Corruption-Robust Time Series Forecasting with Covariates

Time series forecasters that use exogenous covariates are fragile in deployment: when those covariates are noised, temporally misaligned, or missing, strong exogenous-fusion and exogenous-adapted models can degrade far above the endogenous-only floor. We study whether such robustness requires specialized architectures, or whether it can be obtained through a simple training intervention. We propose exogenous dropout, a model-agnostic method that randomly zeros whole exogenous channels during training. Across electricity-price forecasting, reservoir hydrology, and meteorology, exogenous dropout substantially improves robustness under Gaussian noise, temporal misalignment, and fully missing channels, while preserving clean accuracy. Applied to a dual-correlation network, it yields the most robust model in our experiments, outperforming a deliberately strong bounded architectural foil, BoundEx, which combines a learnable gate, a fallback residual to the endogenous backbone, and per-channel exogenous FiLM modulation. Architecture-by-dropout ablations, gate-behavior diagnostics, and a representation-level bound show that explicit architectural boundedness is not necessary for this robustness: an unbounded model trained with exogenous dropout is more robust than the bounded model in every domain. We release a corruption-robustness benchmark and recommend exogenous dropout as a simple, strong baseline for future work on time series forecasting with covariates.

Hao Hu, Xue-shan Ai

State Key Laboratory of Water Resources Engineering and Management, Wuhan University, Wuhan 430072, China · Hubei Key Laboratory of Water System Science for Sponge City Construction (Wuhan University), Wuhan 430072, China

Neural Network Robustness Time Series Forecasting Corruption Robustness Robust Time Series Forecasting Time Series Forecasting with Covariates Exogenous Time Series Forecasting

Jul 1, 2026

TiRex-2: Generalizing TiRex to Multivariate Data and Streaming

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.

Patrick Podest, Marco Pichler, Elias Bürger +7

ELLIS Unit Linz, LIT AI Lab & Institute for Machine Learning, JKU Linz, Austria · NXAI Lab, Linz, Austria · NXAI GmbH, Linz, Austria +1

Multivariate Time Series Forecasting Zero-Shot Time Series Forecasting Time Series Forecasting Time-Series Foundation Models Time Series Forecasting with Covariates

Jun 9, 2026

CITRAS-FM: Tiny Time Series Foundation Model for Covariate-Informed Zero-Shot Forecasting

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.

Yosuke Yamaguchi, Issei Suemitsu, Yuki Kajihara +1

Research & Development Group, Hitachi Ltd., Tokyo, Japan

Synthetic Data Pretraining Zero-Shot Time Series Forecasting Time Series Forecasting Time Series Forecasting with Covariates Time Series Transformers Time-Series Foundation Models

May 12, 2026

Investigating simple target-covariate relationships for Chronos-2 and TabPFN-TS

Time Series Foundation Models (TSFMs) have recently achieved state-of-the-art performance, often outperforming supervised models in zero-shot settings. Recent TSFM architectures, such as Chronos-2 and TabPFN-TS, aim to integrate covariates. In this paper, we design controlled experiments based on simple target-covariate relationships to assess this integration capability. Our results show that TabPFN-TS captures these relationships more effectively than Chronos-2, especially for short horizons, suggesting that the strong benchmark performance of Chronos-2 does not automatically translate into optimal modeling of simple covariate-target dependencies.

Gaspard Berthelier, Mariia Baranova, Andrei-Tiberiu Pantea +4

EDF R&D, Palaiseau · Inria Sophia-Antipolis, Université Côte d’Azur · Université Paris Cit'e

Multivariate Time Series Forecasting Time Series Forecasting Time Series Forecasting with Covariates Time-Series Foundation Models

Mar 18, 2026

Baguan-TS: A Sequence-Native In-Context Learning Model for Time Series Forecasting with Covariates

Transformers enable in-context learning (ICL) for rapid, gradient-free adaptation in time series forecasting, yet most ICL-style approaches rely on tabularized, hand-crafted features, while end-to-end sequence models lack inference-time adaptation. We bridge this gap with a unified framework, Baguan-TS, which integrates the raw-sequence representation learning with ICL, instantiated by a 3D Transformer that attends jointly over temporal, variable, and context axes. To make this high-capacity model practical, we tackle two key hurdles: (i) calibration and training stability, improved with a feature-agnostic, target-space retrieval-based local calibration; and (ii) output oversmoothing, mitigated via context-overfitting strategy. On public benchmark with covariates, Baguan-TS consistently outperforms established baselines, achieving the highest win rate and significant reductions in both point and probabilistic forecasting metrics. Further evaluations across diverse real-world energy datasets demonstrate its robustness, yielding substantial improvements.

Linxiao Yang, Xue Jiang, Gezheng Xu +9

DAMO Academy, Alibaba Group, Hangzhou, China

Time Series Forecasting Multivariate Time Series Forecasting Time Series Forecasting with Covariates Time Series Transformers

Mar 16, 2026

Time-Aware Prior Fitted Networks for Zero-Shot Forecasting with Exogenous Variables

In many time series forecasting settings, the target time series is accompanied by exogenous covariates, such as promotions and prices in retail demand; temperature in energy load; calendar and holiday indicators for traffic or sales; and grid load or fuel costs in electricity pricing. Ignoring these exogenous signals can substantially degrade forecasting accuracy, particularly when they drive spikes, discontinuities, or regime and phase changes in the target series. Most current time series foundation models (e.g., Chronos, Sundial, TimesFM, TimeMoE, TimeLLM, and LagLlama) ignore exogenous covariates and make forecasts solely from the numerical time series history, thereby limiting their performance. In this paper, we develop ApolloPFN, a prior-data fitted network (PFN) that is time-aware (unlike prior PFNs) and that natively incorporates exogenous covariates (unlike prior univariate forecasters). Our design introduces two major advances: (i) a synthetic data generation framework that injects realistic temporal patterns, structural changes, and exogenous dependencies into the PFN prior; and (ii) time-aware architectural modifications that embed inductive biases needed to exploit temporal context. We demonstrate that ApolloPFN outperforms existing baselines across several forecasting benchmarks with exogenous information, including M5, electric price forecasting, UCI Air Quality, and Solar Energy datasets.

Andres Potapczynski, Ravi Kiran Selvam, Tatiana Konstantinova +7

Amazon Science, New York University · Amazon Science

Exogenous Time Series Forecasting Time Series Forecasting Time Series Forecasting with Covariates Zero-Shot Time Series Forecasting Prior-Data Fitted Networks Time-Series Foundation Models

Mar 5, 2026

Retrieval-Augmented Generation with Covariate Time Series

While RAG has greatly enhanced LLMs, extending this paradigm to Time-Series Foundation Models (TSFMs) remains a challenge. This is exemplified in the Predictive Maintenance of the Pressure Regulating and Shut-Off Valve (PRSOV), a high-stakes industrial scenario characterized by (1) data scarcity, (2) short transient sequences, and (3) covariate coupled dynamics. Unfortunately, existing time-series RAG approaches predominantly rely on generated static vector embeddings and learnable context augmenters, which may fail to distinguish similar regimes in such scarce, transient, and covariate coupled scenarios. To address these limitations, we propose RAG4CTS, a regime-aware, training-free RAG framework for Covariate Time-Series. Specifically, we construct a hierarchal time-series native knowledge base to enable lossless storage and physics-informed retrieval of raw historical regimes. We design a two-stage bi-weighted retrieval mechanism that aligns historical trends through point-wise and multivariate similarities. For context augmentation, we introduce an agent-driven strategy to dynamically optimize context in a self-supervised manner. Extensive experiments on PRSOV demonstrate that our framework significantly outperforms state-of-the-art baselines in prediction accuracy. The proposed system is deployed in Apache IoTDB within China Southern Airlines. Since deployment, our method has successfully identified one PRSOV fault in two months with zero false alarm.

Kenny Ye Liang, Zhongyi Pei, Huan Zhang +3

Tsinghua University · China Southern Airlines

Time Series Forecasting with Covariates Retrieval-Augmented Time Series Forecasting Time Series Forecasting Time-Series Foundation Models Predictive Maintenance

Feb 6, 2026

DiTS: Multimodal Diffusion Transformers Are Time Series Forecasters

While generative modeling facilitates probabilistic time series forecasting, incorporating heterogeneous exogenous information remains challenging. Diffusion Transformers (DiT) provide a scalable framework for conditional generation, yet their adaptation to forecasting calls for conditioning mechanisms tailored to time series. Endogenous targets and exogenous covariates differ in sources, semantics, and statistical characteristics, while sharing temporal coordinates that support fine-grained conditional guidance. Covariates can describe future variability and temporal dependence beyond the conditional mean targeted by direct regression. Motivated by these considerations, we propose Diffusion Transformers for Time Series (DiTS), a Multimodal Diffusion Transformer for covariate-aware forecasting. DiTS models endogenous targets and exogenous covariates as distinct modalities, jointly conditioning future generation on target history and available covariates. Flow matching makes covariate-dependent distributional information relevant to velocity prediction conditioned on noisy future states. We introduce Time-aligned Modulation, extending AdaLN with the temporal-alignment prior to generate patch-wise modulation parameters from aligned covariates and diffusion time. Across diverse covariate-aware forecasting tasks, DiTS achieves strong performance in both deterministic and probabilistic forecasting, demonstrating the effectiveness of conditional generation for both point and distributional forecasting.

Haoran Zhang, Haixuan Liu, Yong Liu +4

School of Software, BNRist, Tsinghua University

Exogenous Time Series Forecasting Time Series Forecasting Time Series Forecasting with Covariates Probabilistic Time Series Forecasting Diffusion Transformer Multimodal Diffusion Models

Sep 30, 2025

fev-bench: A Realistic Benchmark for Time Series Forecasting

Benchmark quality is critical for meaningful evaluation and sustained progress in time series forecasting, particularly with the rise of pretrained models. Existing benchmarks often have limited domain coverage or overlook real-world settings such as tasks with covariates. Their aggregation procedures frequently lack statistical rigor, making it unclear whether observed performance differences reflect true improvements or random variation. Many benchmarks lack consistent evaluation infrastructure or are too rigid for integration into existing pipelines. To address these gaps, we propose fev-bench, a benchmark of 100 forecasting tasks across seven domains, including 46 with covariates. Supporting the benchmark, we introduce fev, a lightweight Python library for forecasting evaluation emphasizing reproducibility and integration with existing workflows. Using fev, fev-bench employs principled aggregation with bootstrapped confidence intervals to report performance along two dimensions: win rates and skill scores. We report results on fev-bench for pretrained, statistical, and baseline models and identify promising future research directions.

Oleksandr Shchur, Abdul Fatir Ansari, Caner Turkmen +5

AWS · Keystone AI · Prior Labs +2

Benchmark Design Time Series Forecasting Forecasting Benchmarks Time Series Forecasting with Covariates Benchmark Validity