Zero-shot Forecasting by Simulation Alone

Boris N. Oreshkin, Mayank Jauhari, Ravi Kiran Selvam, Malcolm Wolff, Wenhao Pan, Shankar Ramasubramanian, Kin G. Olivares, Tatiana Konstantinova, Andres Potapczynski, Mengfei Cao, Dmitry Efimov, Michael W. Mahoney, Andrew Gordon Wilson

Keywords: forecasting, foundation models, simulation, zero-shot

Abstract: Zero-shot time-series forecasting holds great promise, but is still in its infancy, hindered by limited and biased data corpora, leakage-prone evaluation, and privacy and licensing constraints. Motivated by these challenges, we propose the first practical univariate time series simulation pipeline which is simultaneously fast enough for on-the-fly data generation and enables notable zero-shot forecasting performance on M-Series and GiftEval benchmarks that capture trend/seasonality/intermittency patterns, typical of industrial forecasting applications. Our simulator, which we call SarSim (SARIMA Simulator for Zero-Shot Forecasting), is based off of a seasonal autoregressive integrated moving average (SARIMA) model as its core data source. Due to instability in the autoregressive component, naive SARIMA simulation often leads to unusable paths. Instead, we follow a three-step procedure: (1) we sample well-behaved trajectories from its characteristic polynomial stability region; (2) we introduce a superposition scheme that combines multiple paths into rich multi-seasonality traces; and (3) we add rate-based heavy-tailed noise models to capture burstiness and intermittency alongside seasonalities and trends. SarSim is orders of magnitude faster than kernel-based generators, and it enables training on circa 1B unique purely simulated series, generated on the fly; after which well-established neural network backbones exhibit strong zero-shot generalization, surpassing strong statistical forecasters and recent foundation baselines, while operating under strict zero-shot protocol. Notably, on GiftEval we observe a "student-beats-teacher" effect: models trained on our simulations exceed the forecasting accuracy of the AutoARIMA generating processes.

Primary Area: learning on time series and dynamical systems

Submission Number: 15703