ELATE: Evolutionary Language model for Automated Time-series Engineering

TL;DR

ELATE is a novel framework that combines language models and evolutionary algorithms to automate feature engineering in time-series forecasting, significantly improving accuracy across multiple domains.

Contribution

It introduces a new method integrating language models with evolutionary strategies for automated, domain-aware feature engineering in time-series prediction.

Findings

Improves forecasting accuracy by 8.4% on average.

Automates feature engineering, reducing manual effort.

Effective across diverse time-series domains.

Abstract

Time-series prediction involves forecasting future values using machine learning models. Feature engineering, whereby existing features are transformed to make new ones, is critical for enhancing model performance, but is often manual and time-intensive. Existing automation attempts rely on exhaustive enumeration, which can be computationally costly and lacks domain-specific insights. We introduce ELATE (Evolutionary Language model for Automated Time-series Engineering), which leverages a language model within an evolutionary framework to automate feature engineering for time-series data. ELATE employs time-series statistical measures and feature importance metrics to guide and prune features, while the language model proposes new, contextually relevant feature transformations. Our experiments demonstrate that ELATE improves forecasting accuracy by an average of 8.4% across various domains.