ROSE: Register-Assisted General Time Series Forecasting with Decomposed Frequency Learning

Yihang Wang, Yuying Qiu, Peng Chen, Kai Zhao, Yang Shu, Zhongwen Rao, Lujia Pan, Bin Yang, Chenjuan Guo

Keywords: Time series forecasting

Abstract: With the increasing collection of time series data from various domains, there arises a strong demand for general time series forecasting models pre-trained on a large number of time-series datasets to support a variety of downstream prediction tasks. Enabling general time series forecasting faces two challenges: how to obtain unified representations from multi-domian time series data, and how to capture domain-specific features from time series data across various domains for adaptive transfer in downstream tasks. To address these challenges, we propose a Register-Assisted General Time Series Forecasting Model with Decomposed Frequency Learning (ROSE), a novel pre-trained model for time series forecasting. ROSE employs Decomposed Frequency Learning for the pre-training task, which decomposes coupled semantic information in time series with frequency-based masking and reconstruction to obtain unified representations across domains. We also equip ROSE with a Time Series Register, which learns to generate a register to capture domain-specific representations during pre-training and enhances domain-adaptive transfer by selecting related register tokens on downstream tasks. After pre-training on large-scale time series data, ROSE achieves state-of-the-art forecasting performance on 7 real-world benchmarks. Remarkably, it demonstrates competitive or superior few-shot and zero-shot abilities.

Primary Area: learning on time series and dynamical systems

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Submission Number: 6201