Calibration Properties of Time Series Foundation Models

Coen Adler, Yuxin Chang, Samar Abdi, Padhraic Smyth

Keywords: time series, foundation models, calibration

TL;DR: We evaluate the calibration properties of time series foundation models.

Abstract: Recent development of foundation models for time series data has generated considerable interest in using such models across a variety of applications. Although they achieve state-of-the-art predictive performance, the ability to produce well-calibrated probabilistic distributions is critical for practical applications and is relatively underexplored. In this paper, we investigate the calibration-related properties of five recent time series foundation models and two competitive baselines. We perform systematic evaluations and identify significant variation in calibration performances across models.

Submission Number: 68