27
May
Foundation Models, Transformers and Time-Series. Statisticians and econometricians have been searching for the Holy Grail of time-series forecasting (TSF) for more than 40 years. “Classical” models like ARIMA still work remarkably well in some TSF scenarios. But today, the cool stuff is all about transformer-based, DL & foundation models for TSF. How “good” are these new DL models for TSF? How do we evaluate these models? Do these new models really achieve SOTA performance as some papers claim? Are DL researchers cherrypicking ts datasets to easily fit a SOTA TSF DL model?...Real world time-series data is complex, messy, and it…