TiRex: Zero-Shot Forecasting Across Long and Short Horizons with Enhanced In-Context Learning

TL;DR

TiRex introduces an enhanced LSTM model with in-context learning capabilities, achieving state-of-the-art zero-shot time series forecasting across various horizons by combining state-tracking with a novel training masking strategy.

Contribution

The paper presents TiRex, a new LSTM-based model with improved in-context learning and state-tracking, outperforming transformer-based models in zero-shot forecasting tasks.

Findings

TiRex achieves new state-of-the-art results on HuggingFace benchmarks.

It outperforms larger models like TabPFN-TS and TimesFM.

Effective for both short- and long-term forecasting.

Abstract

In-context learning, the ability of large language models to perform tasks using only examples provided in the prompt, has recently been adapted for time series forecasting. This paradigm enables zero-shot prediction, where past values serve as context for forecasting future values, making powerful forecasting tools accessible to non-experts and increasing the performance when training data are scarce. Most existing zero-shot forecasting approaches rely on transformer architectures, which, despite their success in language, often fall short of expectations in time series forecasting, where recurrent models like LSTMs frequently have the edge. Conversely, while LSTMs are well-suited for time series modeling due to their state-tracking capabilities, they lack strong in-context learning abilities. We introduce TiRex that closes this gap by leveraging xLSTM, an enhanced LSTM with competitive in-context learning skills. Unlike transformers, state-space models, or parallelizable RNNs such as RWKV, TiRex retains state-tracking, a critical property for long-horizon forecasting. To further facilitate its state-tracking ability, we propose a training-time masking strategy called CPM. TiRex sets a new state of the art in zero-shot time series forecasting on the HuggingFace benchmarks GiftEval and Chronos-ZS, outperforming significantly larger models including TabPFN-TS (Prior Labs), Chronos Bolt (Amazon), TimesFM (Google), and Moirai (Salesforce) across both short- and long-term forecasts.