# Towards Better Long-range Time Series Forecasting using Generative Forecasting

arXiv: https://arxiv.org/abs/2212.06142 · HTML: https://mlsanity.com/paper/2212.06142/

## Key facts

- Cited by 3 papers in the map (data through 14 Oct 2026).
- Builds on 29 of its 85 references that are in the map.
- First posted on arXiv 9 Dec 2022.

## Builds on (most cited first, 29 of 29)

- [Attention Is All You Need](https://mlsanity.com/paper/1706.03762/) (2017)
- [Adam: A Method for Stochastic Optimization](https://mlsanity.com/paper/1412.6980/) (2014)
- [Sequence to Sequence Learning with Neural Networks](https://mlsanity.com/paper/1409.3215/) (2014)
- [Improved Training of Wasserstein GANs](https://mlsanity.com/paper/1704.00028/) (2017)
- [Informer: Beyond Efficient Transformer for Long Sequence Time-Series Forecasting](https://mlsanity.com/paper/2012.07436/) (2020)
- [Conditional Generative Adversarial Nets](https://mlsanity.com/paper/1411.1784/) (2014)
- [Autoformer: Decomposition Transformers with Auto-Correlation for Long-Term Series Forecasting](https://mlsanity.com/paper/2106.13008/) (2021)
- [Reformer: The Efficient Transformer](https://mlsanity.com/paper/2001.04451/) (2020)
- [Are Transformers Effective for Time Series Forecasting?](https://mlsanity.com/paper/2205.13504/) (2022)
- [DeepAR: Probabilistic Forecasting with Autoregressive Recurrent Networks](https://mlsanity.com/paper/1704.04110/) (2017)
- [Modeling Long- and Short-Term Temporal Patterns with Deep Neural Networks](https://mlsanity.com/paper/1703.07015/) (2017)
- [Temporal Fusion Transformers for Interpretable Multi-horizon Time Series Forecasting](https://mlsanity.com/paper/1912.09363/) (2019)
- [Enhancing the Locality and Breaking the Memory Bottleneck of Transformer on Time Series Forecasting](https://mlsanity.com/paper/1907.00235/) (2019)
- [Time Series Forecasting With Deep Learning: A Survey](https://mlsanity.com/paper/2004.13408/) (2020)
- [Non-stationary Transformers: Exploring the Stationarity in Time Series Forecasting](https://mlsanity.com/paper/2205.14415/) (2022)
- [Financial Time Series Forecasting with Deep Learning : A Systematic Literature Review: 2005-2019](https://mlsanity.com/paper/1911.13288/) (2019)
- [GAN-based Synthetic Medical Image Augmentation for increased CNN Performance in Liver Lesion Classification](https://mlsanity.com/paper/1803.01229/) (2018)
- [C-RNN-GAN: Continuous recurrent neural networks with adversarial training](https://mlsanity.com/paper/1611.09904/) (2016)
- [Deep Transformer Models for Time Series Forecasting: The Influenza Prevalence Case](https://mlsanity.com/paper/2001.08317/) (2020)
- [Pre-training Enhanced Spatial-temporal Graph Neural Network for Multivariate Time Series Forecasting](https://mlsanity.com/paper/2206.09113/) (2022)
- [Bias and Generalization in Deep Generative Models: An Empirical Study](https://mlsanity.com/paper/1811.03259/) (2018)
- [Shape and Time Distortion Loss for Training Deep Time Series Forecasting Models](https://mlsanity.com/paper/1909.09020/) (2019)
- [Neural graphical modelling in continuous-time: consistency guarantees and algorithms](https://mlsanity.com/paper/2105.02522/) (2021)
- [Long-term Forecasting using Higher Order Tensor RNNs](https://mlsanity.com/paper/1711.00073/) (2017)
- [A Comprehensive Survey of Regression Based Loss Functions for Time Series Forecasting](https://mlsanity.com/paper/2211.02989/) (2022)
- [LSTM-MSNet: Leveraging Forecasts on Sets of Related Time Series with Multiple Seasonal Patterns](https://mlsanity.com/paper/1909.04293/) (2019)
- [Policy Analysis using Synthetic Controls in Continuous-Time](https://mlsanity.com/paper/2102.01577/) (2021)
- [Towards Better Forecasting by Fusing Near and Distant Future Visions](https://mlsanity.com/paper/1912.05122/) (2019)
- [Exploring Bias in GAN-based Data Augmentation for Small Samples](https://mlsanity.com/paper/1905.08495/) (2019)

## Built on by (most cited first, 3 of 3)

- [FreDF: Learning to Forecast in the Frequency Domain](https://mlsanity.com/paper/2402.02399/) (2024)
- [A Survey of Transformer Enabled Time Series Synthesis](https://mlsanity.com/paper/2406.02322/) (2024)
- [CoRe: Coherence and Relational Alignment for Multivariate Time Series Forecasting](https://mlsanity.com/paper/2609.19670/) (2026)

## Abstract (arXiv)

Long-range time series forecasting is usually based on one of two existing forecasting strategies: Direct Forecasting and Iterative Forecasting, where the former provides low bias, high variance forecasts and the latter leads to low variance, high bias forecasts. In this paper, we propose a new forecasting strategy called Generative Forecasting (GenF), which generates synthetic data for the next few time steps and then makes long-range forecasts based on generated and observed data. We theoretically prove that GenF is able to better balance the forecasting variance and bias, leading to a much smaller forecasting error. We implement GenF via three components: (i) a novel conditional Wasserstein Generative Adversarial Network (GAN) based generator for synthetic time series data generation, called CWGAN-TS. (ii) a transformer based predictor, which makes long-range predictions using both generated and observed data. (iii) an information theoretic clustering algorithm to improve the training of both the CWGAN-TS and the transformer based predictor. The experimental results on five public datasets demonstrate that GenF significantly outperforms a diverse range of state-of-the-art benchmarks and classical approaches. Specifically, we find a 5% - 11% improvement in predictive performance (mean absolute error) while having a 15% - 50% reduction in parameters compared to the benchmarks. Lastly, we conduct an ablation study to further explore and demonstrate the effectiveness of the components comprising GenF.