Flow Matching with Gaussian Process Priors for Probabilistic Time Series Forecasting

• URL: http://arxiv.org/abs/2410.03024v1
• Date: Thu, 3 Oct 2024 22:12:50 GMT
• Title: Flow Matching with Gaussian Process Priors for Probabilistic Time Series Forecasting
• Authors: Marcel Kollovieh, Marten Lienen, David Lüdke, Leo Schwinn, Stephan Günnemann,
• Abstract summary: We introduce TSFlow, a conditional flow matching (CFM) model for time series. By incorporating (conditional) Gaussian processes, TSFlow aligns the prior distribution more closely with the temporal structure of the data. We show that both conditionally and unconditionally trained models achieve competitive results in forecasting benchmarks.
• Score: 43.951394031702016
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Recent advancements in generative modeling, particularly diffusion models, have opened new directions for time series modeling, achieving state-of-the-art performance in forecasting and synthesis. However, the reliance of diffusion-based models on a simple, fixed prior complicates the generative process since the data and prior distributions differ significantly. We introduce TSFlow, a conditional flow matching (CFM) model for time series that simplifies the generative problem by combining Gaussian processes, optimal transport paths, and data-dependent prior distributions. By incorporating (conditional) Gaussian processes, TSFlow aligns the prior distribution more closely with the temporal structure of the data, enhancing both unconditional and conditional generation. Furthermore, we propose conditional prior sampling to enable probabilistic forecasting with an unconditionally trained model. In our experimental evaluation on eight real-world datasets, we demonstrate the generative capabilities of TSFlow, producing high-quality unconditional samples. Finally, we show that both conditionally and unconditionally trained models achieve competitive results in forecasting benchmarks, surpassing other methods on 6 out of 8 datasets.

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