Unified Long-Term Time-Series Forecasting Benchmark

Jacek Cyranka, Szymon Jan Haponiuk

Primary Area: datasets and benchmarks

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Keywords: time-series, forecasting, long-term, benchmark, neural network

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TL;DR: We present a comprehensive benchmark designed explicitly for long-term time-series forecasting

Abstract: In order to support the advancement of machine learning methods for predicting time-series data, we present a comprehensive dataset designed explicitly for long-term time-series forecasting. We incorporate a collection of datasets obtained from diverse, dynamic systems and real-life records. Each dataset is standardized by dividing it into training and test trajectories with predetermined lookback lengths. We include trajectories of length up to $2000$ to ensure a reliable evaluation of long-term forecasting capabilities. To determine the most effective model in diverse scenarios, we conduct an extensive benchmarking analysis using classical and state-of-the-art models, namely LSTM, DeepAR, NLinear, N-Hits, PatchTST, and LatentODE. Our findings reveal intriguing performance comparisons among these models, highlighting the dataset-dependent nature of model effectiveness. Notably, we introduce a custom latent NLinear model and enhance DeepAR with a curriculum learning phase. Both consistently outperform their vanilla counterparts.

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Submission Number: 5498