An Evaluation of Standard Statistical Models and LLMs on Time Series Forecasting

This research examines the use of Large Language Models (LLMs) in predicting time series, with a specific focus on the LLMTIME model. Despite the established effectiveness of LLMs in tasks such as text generation, language translation, and sentiment analysis, this study highlights the key challenges that large language models encounter in the context of time series prediction. We assess the performance of LLMTIME across multiple datasets and introduce classical almost periodic functions as time series to gauge its effectiveness. The empirical results indicate that while large language models can perform well in zero-shot forecasting for certain datasets, their predictive accuracy diminishes notably when confronted with diverse time series data and traditional signals. The primary finding of this study is that the predictive capacity of LLMTIME, similar to other LLMs, significantly deteriorates when dealing with time series data that contain both periodic and trend components, as well as when the signal comprises complex frequency components.

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Publication Details

Published
2024-11-20
DOI
https://doi.org/10.1109/fmlds63805.2024.00098
Citations
6
Primary Topic
Forecasting Techniques and Applications
Type
article
Field-Weighted Citation Impact
2.94
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article

An Evaluation of Standard Statistical Models and LLMs on Time Series Forecasting

Rui Cao, Qiao Wang
6 citations
Forecasting Techniques and Applications
2.94
article

An Evaluation of Standard Statistical Models and LLMs on Time Series Forecasting

Rui Cao, Qiao Wang
article en
6 citations

Abstract

This research examines the use of Large Language Models (LLMs) in predicting time series, with a specific focus on the LLMTIME model. Despite the established effectiveness of LLMs in tasks such as text generation, language translation, and sentiment analysis, this study highlights the key challenges that large language models encounter in the context of time series prediction. We assess the performance of LLMTIME across multiple datasets and introduce classical almost periodic functions as time series to gauge its effectiveness. The empirical results indicate that while large language models can perform well in zero-shot forecasting for certain datasets, their predictive accuracy diminishes notably when confronted with diverse time series data and traditional signals. The primary finding of this study is that the predictive capacity of LLMTIME, similar to other LLMs, significantly deteriorates when dealing with time series data that contain both periodic and trend components, as well as when the signal comprises complex frequency components.

Southeast University (CN)
Climate action
Openalex Percentile: Top 8%
Forecasting Techniques and Applications
2.94
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An Evaluation of Standard Statistical Models and LLMs on Time Series Forecasting — Rui Cao, Qiao Wang · (2024) | TGRS Research Map | TGRS