Diffusion Models for Time Series Forecasting: A Survey

TL;DR

This survey reviews the application of diffusion models to time series forecasting, categorizing existing approaches, analyzing their mechanisms, and discussing future research directions in this emerging field.

Contribution

It provides the first systematic taxonomy and comprehensive review of diffusion models specifically adapted for time series forecasting tasks.

Findings

Diffusion models have shown promising results in TSF.

A systematic categorization of diffusion-based TSF models is provided.

Discussion of datasets, metrics, and future research directions.

Abstract

Diffusion models, initially developed for image synthesis, demonstrate remarkable generative capabilities. Recently, their application has expanded to time series forecasting (TSF), yielding promising results. Existing surveys on time series primarily focus on the application of diffusion models to time series tasks or merely provide model-by-model introductions of diffusion-based TSF models, without establishing a systematic taxonomy for existing diffusion-based TSF models. In this survey, we firstly introduce several standard diffusion models and their prevalent variants, explaining their adaptation to TSF tasks. Then, we provide a comprehensive review of diffusion models for TSF, paying special attention to the sources of conditional information and the mechanisms for integrating this conditioning within the models. In analyzing existing approaches using diffusion models for TSF, we provide a systematic categorization and a comprehensive summary of them in this survey. Furthermore, we examine several foundational diffusion models applied to TSF, alongside commonly used datasets and evaluation metrics. Finally, we discuss the progress and limitations of these approaches, as well as potential future research directions for diffusion-based TSF. Overall, this survey offers a comprehensive overview of recent progress and future prospects for diffusion models in TSF, serving as a valuable reference for researchers in the field.