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ForecastPFN: Synthetically-Trained Zero-Shot Forecasting

NeurIPS 2023 · Time series › Foundation models for time series · approach: Time series foundation models · 14 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
remove noise from training-loss targets (synthetic ground truth) (ablation)ForecastPFN · Synthetic validationvalidation MSE: 33.089 -> 22.692Helped
use robust scaler instead of min-max scaling (ablation)ForecastPFN · Synthetic validationvalidation MSE lossHelped
scale synthetic noise from 1/6 to full (m_noise=1) (ablation)ForecastPFN · Synthetic traintrain loss: 0.591 -> 0.032Helped
scale synthetic noise from 2/3 to full (m_noise=1) (ablation)ForecastPFN · Synthetic traintrain loss: 0.384 -> 0.032Helped
zero-shot ForecastPFN vs models trained on 50 pointsForecastPFN vs best baselines · ETTh1, ETTh2, WeatherMSE: 0.127 vs 0.176 (ETTh1)Helped
zero-shot ForecastPFN vs models trained on 500 pointsForecastPFN vs trained baselines · Traffic, ECL, IllnessMSE: 1.971 vs 0.523 (Traffic)Hurt
ForecastPFN vs Meta-N-BEATS zero-shotForecastPFN vs Meta-N-BEATS · ETTh1MSE: 0.177 -> 0.127Helped

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