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Andrew Robert Williams

Lag-Llama: Towards Foundation Models for Time Series Forecasting

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Oct 12, 2023
Kashif Rasul, Arjun Ashok, Andrew Robert Williams, Arian Khorasani, George Adamopoulos, Rishika Bhagwatkar, Marin Biloš, Hena Ghonia, Nadhir Vincent Hassen, Anderson Schneider, Sahil Garg, Alexandre Drouin, Nicolas Chapados, Yuriy Nevmyvaka, Irina Rish

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Aiming to build foundation models for time-series forecasting and study their scaling behavior, we present here our work-in-progress on Lag-Llama, a general-purpose univariate probabilistic time-series forecasting model trained on a large collection of time-series data. The model shows good zero-shot prediction capabilities on unseen "out-of-distribution" time-series datasets, outperforming supervised baselines. We use smoothly broken power-laws to fit and predict model scaling behavior. The open source code is made available at https://github.com/kashif/pytorch-transformer-ts.

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