Understanding Different Design Choices in Training Large Time Series Models

• URL: http://arxiv.org/abs/2406.14045v1
• Date: Thu, 20 Jun 2024 07:09:19 GMT
• Title: Understanding Different Design Choices in Training Large Time Series Models
• Authors: Yu-Neng Chuang, Songchen Li, Jiayi Yuan, Guanchu Wang, Kwei-Herng Lai, Leisheng Yu, Sirui Ding, Chia-Yuan Chang, Qiaoyu Tan, Daochen Zha, Xia Hu,
• Abstract summary: Training Large Time Series Models (LTSMs) on heterogeneous time series data poses unique challenges. We propose emphtime series prompt, a novel statistical prompting strategy tailored to time series data. We introduce textttLTSM-bundle, which bundles the best design choices we have identified.
• Score: 71.20102277299445
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Inspired by Large Language Models (LLMs), Time Series Forecasting (TSF), a long-standing task in time series analysis, is undergoing a transition towards Large Time Series Models (LTSMs), aiming to train universal transformer-based models for TSF. However, training LTSMs on heterogeneous time series data poses unique challenges, including diverse frequencies, dimensions, and patterns across datasets. Recent endeavors have studied and evaluated various design choices aimed at enhancing LTSM training and generalization capabilities, spanning pre-processing techniques, model configurations, and dataset configurations. In this work, we comprehensively analyze these design choices and aim to identify the best practices for training LTSM. Moreover, we propose \emph{time series prompt}, a novel statistical prompting strategy tailored to time series data. Furthermore, based on the observations in our analysis, we introduce \texttt{LTSM-bundle}, which bundles the best design choices we have identified. Empirical results demonstrate that \texttt{LTSM-bundle} achieves superior zero-shot and few-shot performances compared to state-of-the-art LSTMs and traditional TSF methods on benchmark datasets.

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