Paper
Forking-Sequences
Authors
Willa Potosnak, Malcolm Wolff, Mengfei Cao, Ruijun Ma, Tatiana Konstantinova, Dmitry Efimov, Michael W. Mahoney, Boris Oreshkin, Kin G. Olivares
Abstract
While accuracy is a critical requirement for time series forecasting, an equally important desideratum is forecast stability across forecast creation dates (FCDs). Even highly accurate models can produce erratic revisions between FCDs, disrupting downstream decision-making. To improve forecast stability, several state-of-the-art models including MQCNN, MQT, and SPADE employ a powerful yet underexplored neural network architectural design known as forking-sequences. This architectural design jointly encodes and decodes the entire time series across all FCDs, producing an entire multi-horizon forecast grid in a single forward pass. This approach contrasts with conventional statistical and neural forecasting methods that process FCDs independently, generating only a single multi-horizon forecast per forward pass. In this work, we formalize the forking-sequences design and motivate its broader adoption by introducing a metric for quantifying excess volatility in forecast revisions and by providing theoretical and empirical analysis. We theoretically motivate three key benefits of forking-sequences: (i) increased forecast stability through ensembling; (ii) gradient variance reduction, leading to more stable and consistent training steps; and (iii) improved computational efficiency during inference. We validate the benefits of forking-sequences compared to baseline window-sampling on the M-series benchmark, using 16 datasets from the M1, M3, M4, and Tourism competitions. We observe median accuracy improvements across datasets of 29.7%, 46.2%, 49.3%, 28.6%, 24.7%, and 6.4% for MLP, RNN, LSTM, CNN, Transformer, and State Space-based architectures, respectively. We then show that forecast ensembling during inference can improve median forecast stability by 10.8%, 13.2%, 13.0%, 10.9%, 10.2%, and 11.2% for these respective models trained with forking-sequences, while maintaining accuracy.