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Cross-Frequency Time Series Meta-Forecasting
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Meta-forecasting is a newly emerging field which combines meta-learning and time series forecasting. The goal of meta-forecasting is to train over a collection of source time series and generalize to new time series one-at-a-time. Previous approaches in meta-forecasting achieve competitive performance, but with the restriction of training a separate model for each sampling frequency. In this work, we investigate meta-forecasting over different sampling frequencies, and introduce a new model, the Continuous Frequency Adapter (CFA), specifically designed to learn frequency-invariant representations. We find that CFA greatly improves performance when generalizing to unseen frequencies, providing a first step towards forecasting over larger multi-frequency datasets.
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Cited by 1 Pith paper
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DELPHYNE: A Pre-Trained Model for General and Financial Time Series
The paper reports that a time-series transformer pretrained on public and proprietary financial data becomes competitive on financial tasks after fine-tuning, while zero-shot general forecasting remains behind MOIRAI.
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