用模拟生成数据,让模型零样本预测时间序列,效果超越真实数据训练的模型。
Zero-shot Forecasting by Simulation Alone
- 基于SARIMA构建稳定模拟器,分三步生成带趋势、季节性和间歇性的合成数据
- 在M-Series和GiftEval上实现领先零样本预测性能,优于传统统计方法和基础模型
- 适合工业级时间序列预测场景,尤其缺乏真实数据时的快速建模需求
零样本时间序列预测前景广阔但仍处于初期,受限于数据集有限且有偏差、评估易泄露以及隐私与许可限制。针对这些挑战,我们提出首个实用的单变量时间序列模拟流水线,可实时生成数据,同时在涵盖趋势、季节性和间歇性模式的M-Series和GiftEval基准上实现显著零样本预测表现。该模拟器名为SarSim0(SARIMA零样本预测模拟器),以季节自回归积分滑动平均模型为核心。由于自回归成分不稳定,直接模拟常导致无效路径。因此我们采用三步策略:(1) 从特征多项式稳定性区域采样行为良好的轨迹;(2) 引入叠加机制,将多条路径组合成具有丰富多重季节性的序列;(3) 加入基于速率的重尾噪声模型,以捕捉突发性和间歇性特征。SarSim0比核基生成器快数个数量级,支持即时生成约10亿条唯一纯模拟序列,用于训练后,主流神经网络骨干模型展现出强大零样本泛化能力,在严格零样本协议下超越强统计模型与近期基础模型。尤为值得注意的是,在GiftEval上观察到“学生胜过老师”现象:基于模拟数据训练的模型预测精度超过其生成过程(AutoARIMA)本身。
原文摘要 · Abstract (English)
Zero-shot time-series forecasting holds great promise, but is still in its infancy, hindered by limited and biased data corpora, leakage-prone evaluation, and privacy and licensing constraints. Motivated by these challenges, we propose the first practical univariate time series simulation pipeline which is simultaneously fast enough for on-the-fly data generation and enables notable zero-shot forecasting performance on M-Series and GiftEval benchmarks that capture trend/seasonality/intermittency patterns, typical of industrial forecasting applications across a variety of domains. Our simulator, which we call SarSim0 (SARIMA Simulator for Zero-Shot Forecasting), is based off of a seasonal autoregressive integrated moving average (SARIMA) model as its core data source. Due to instability in the autoregressive component, naive SARIMA simulation often leads to unusable paths. Instead, we follow a three-step procedure: (1) we sample well-behaved trajectories from its characteristic polynomial stability region; (2) we introduce a superposition scheme that combines multiple paths into rich multi-seasonality traces; and (3) we add rate-based heavy-tailed noise models to capture burstiness and intermittency alongside seasonalities and trends. SarSim0 is orders of magnitude faster than kernel-based generators, and it enables training on circa 1B unique purely simulated series, generated on the fly; after which well-established neural network backbones exhibit strong zero-shot generalization, surpassing strong statistical forecasters and recent foundation baselines, while operating under strict zero-shot protocol. Notably, on GiftEval we observe a "student-beats-teacher" effect: models trained on our simulations exceed the forecasting accuracy of the AutoARIMA generating processes.
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