Forking-Sequences

• URL: http://arxiv.org/abs/2510.04487v1
• Date: Mon, 06 Oct 2025 04:51:06 GMT
• Title: Forking-Sequences
• Abstract summary: Even highly accurate models can produce erratic revisions between forecast creation dates.<n>Models like MQCNN, MQT, and SPADE employ a little-known but highly effective technique: forking-sequences.<n>We demonstrate three key benefits of forking-sequences: (i) more stable and consistent gradient updates during training; (ii) reduced forecast variance through ensembling; and (iii) improved inference efficiency.
• Score: 33.62694927994466
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: While accuracy is a critical requirement for time series forecasting models, an equally important (yet often overlooked) desideratum is forecast stability across forecast creation dates (FCDs). Even highly accurate models can produce erratic revisions between FCDs, undermining stakeholder trust and disrupting downstream decision-making. To improve forecast stability, models like MQCNN, MQT, and SPADE employ a little-known but highly effective technique: forking-sequences. Unlike standard statistical and neural forecasting methods that treat each FCD independently, the forking-sequences method jointly encodes and decodes the entire time series across all FCDs, in a way mirroring time series cross-validation. Since forking sequences remains largely unknown in the broader neural forecasting community, in this work, we formalize the forking-sequences approach, and we make a case for its broader adoption. We demonstrate three key benefits of forking-sequences: (i) more stable and consistent gradient updates during training; (ii) reduced forecast variance through ensembling; and (iii) improved inference computational efficiency. We validate forking-sequences' benefits using 16 datasets from the M1, M3, M4, and Tourism competitions, showing improvements in forecast percentage change stability of 28.8%, 28.8%, 37.9%, and 31.3%, and 8.8%, on average, for MLP, RNN, LSTM, CNN, and Transformer-based architectures, respectively.

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