about
Chronos: New ML Framework for Pretrained Probabilistic Time Series Models (arxiv.org)
9 points by panarky on Mar 18, 2024 | hide | past | pdf | discuss on HN

In plain words: It turns each number in a time series into a symbol from a fixed list, then trains a language model to predict the next symbols, giving forecasts with uncertainty. Across 42 datasets it matched or beat models trained specifically on new data.

Abstract · Chronos: Learning the Language of Time Series

We introduce Chronos, a simple yet effective framework for pretrained probabilistic time series models. Chronos tokenizes time series values using scaling and quantization into a fixed vocabulary and trains existing transformer-based language model architectures on these tokenized time series via the cross-entropy loss. We pretrained Chronos models based on the T5 family (ranging from 20M to 710M parameters) on a large collection of publicly available datasets, complemented by a synthetic dataset that we generated via Gaussian processes to improve generalization. In a comprehensive benchmark consisting of 42 datasets, and comprising both classical local models and deep learning methods, we show that Chronos models: (a) significantly outperform other methods on datasets that were part of the training corpus; and (b) have comparable and occasionally superior zero-shot performance on new datasets, relative to methods that were trained specifically on them. Our results demonstrate that Chronos models can leverage time series data from diverse domains to improve zero-shot accuracy on unseen forecasting tasks, positioning pretrained models as a viable tool to greatly simplify forecasting pipelines.

Abdul Fatir Ansari, Lorenzo Stella, Caner Turkmen, Xiyuan Zhang, Pedro Mercado, Huibin Shen, Oleksandr Shchur, Syama Sundar Rangapuram, Sebastian Pineda Arango, Shubham Kapoor, Jasper Zschiegner, Danielle C. Maddix, et al.
arXiv:2403.07815 · cs.LG, cs.AI · submitted Mar 12, 2024 · updated Nov 4, 2024
abstract · pdf · html · Code and model checkpoints available at https://github.com/amazon-science/chronos-forecasting

add comment on HN
Also discussed: Mar 2024 (207 points, 59 comments) · Mar 2024 (6 points, 1 comment)