From Observations to States: Latent Time Series Forecasting

TL;DR

This paper introduces LatentTSF, a new paradigm for time series forecasting that predicts in a learned latent space to improve the structure and continuity of representations, addressing the latent chaos paradox.

Contribution

It proposes shifting from observation-based to latent state prediction using an AutoEncoder, with theoretical analysis and empirical validation showing improved forecasting and representation quality.

Findings

LatentTSF reduces latent chaos and improves forecasting accuracy.

The approach enhances the quality of learned representations.

Experiments confirm consistent performance gains on benchmarks.

Abstract

Deep learning has achieved strong performance in Time Series Forecasting (TSF). However, we identify a critical representation paradox, termed Latent Chaos: models with accurate predictions often learn latent representations that are temporally disordered and lack continuity. We attribute this to the dominant observation-space forecasting paradigm, where minimizing point-wise errors on noisy and partially observed data encourages shortcut solutions instead of the recovery of underlying system dynamics. To address this, we propose Latent Time Series Forecasting (LatentTSF), a paradigm that shifts TSF from observation regression to latent state prediction. LatentTSF employs an AutoEncoder to project each observation into a learned latent state space and performs forecasting entirely in this space, allowing the model to focus on learning structured temporal dynamics. We provide an information-theoretic analysis showing that the latent objectives can be motivated as surrogates for maximizing mutual information between predicted and ground-truth latent states and future observations. Extensive experiments on widely-used benchmarks confirm that LatentTSF effectively mitigates latent chaos, yielding consistent improvements in both forecasting accuracy and representation quality. Our code is available at https://github.com/Muyiiiii/LatentTSF.