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Context Matters: Leveraging Contextual Features for Time Series Forecasting

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arxiv 2410.12672 v5 pith:LVVRTKGV submitted 2024-10-16 cs.LG cs.AI

Context Matters: Leveraging Contextual Features for Time Series Forecasting

Sameep Chattopadhyay , Pulkit Paliwal , Sai Shankar Narasimhan , Shubhankar Agarwal , Sandeep P. Chinchali This is my paper
classification cs.LG cs.AI
keywords contextualforecastinginformationcontextformermodelsmultimodalexistingfeatures
verification ladder T0 review T1 audit T2 compute T3 formal T4 reserved
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Time series forecasts are often influenced by exogenous contextual features in addition to their corresponding history. For example, in financial settings, it is hard to accurately predict a stock price without considering public sentiments and policy decisions in the form of news articles, tweets, etc. Though this is common knowledge, the current state-of-the-art (SOTA) forecasting models fail to incorporate such contextual information, owing to its heterogeneity and multimodal nature. To address this, we introduce ContextFormer, a novel plug-and-play method to surgically integrate multimodal contextual information into existing pre-trained forecasting models. ContextFormer effectively distills forecast-specific information from rich multimodal contexts, including categorical, continuous, time-varying, and even textual information, to significantly enhance the performance of existing base forecasters. ContextFormer outperforms SOTA forecasting models by up to 30% on a range of real-world datasets spanning energy, traffic, environmental, and financial domains.

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