Timer: Generative Pre-trained Transformers Are Large Time Series Models

• URL: http://arxiv.org/abs/2402.02368v2
• Date: Tue, 4 Jun 2024 08:08:59 GMT
• Title: Timer: Generative Pre-trained Transformers Are Large Time Series Models
• Authors: Yong Liu, Haoran Zhang, Chenyu Li, Xiangdong Huang, Jianmin Wang, Mingsheng Long,
• Abstract summary: This paper aims at the early development of large time series models (LTSM) During pre-training, we curate large-scale datasets with up to 1 billion time points. To meet diverse application needs, we convert forecasting, imputation, and anomaly detection of time series into a unified generative task.
• Score: 83.03091523806668
• License: http://creativecommons.org/licenses/by-nc-nd/4.0/
• Abstract: Deep learning has contributed remarkably to the advancement of time series analysis. Still, deep models can encounter performance bottlenecks in real-world data-scarce scenarios, which can be concealed due to the performance saturation with small models on current benchmarks. Meanwhile, large models have demonstrated great powers in these scenarios through large-scale pre-training. Continuous progress has been achieved with the emergence of large language models, exhibiting unprecedented abilities such as few-shot generalization, scalability, and task generality, which are however absent in small deep models. To change the status quo of training scenario-specific small models from scratch, this paper aims at the early development of large time series models (LTSM). During pre-training, we curate large-scale datasets with up to 1 billion time points, unify heterogeneous time series into single-series sequence (S3) format, and develop the GPT-style architecture toward LTSMs. To meet diverse application needs, we convert forecasting, imputation, and anomaly detection of time series into a unified generative task. The outcome of this study is a Time Series Transformer (Timer), which is generative pre-trained by next token prediction and adapted to various downstream tasks with promising capabilities as an LTSM. Code and datasets are available at: https://github.com/thuml/Large-Time-Series-Model.

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