# tsGT: Stochastic Time Series Modeling With Transformer

arXiv: https://arxiv.org/abs/2403.05713 · HTML: https://mlsanity.com/paper/2403.05713/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- Builds on 42 of its 68 references that are in the map.
- First posted on arXiv 8 Mar 2024.

## Builds on (most cited first, 30 of 42)

- [Attention Is All You Need](https://mlsanity.com/paper/1706.03762/) (2017)
- [Language Models are Few-Shot Learners](https://mlsanity.com/paper/2005.14165/) (2020)
- [GPT-4 Technical Report](https://mlsanity.com/paper/2303.08774/) (2023)
- [Evaluating Large Language Models Trained on Code](https://mlsanity.com/paper/2107.03374/) (2021)
- [Scaling Laws for Neural Language Models](https://mlsanity.com/paper/2001.08361/) (2020)
- [PaLM: Scaling Language Modeling with Pathways](https://mlsanity.com/paper/2204.02311/) (2022)
- [Neural Discrete Representation Learning](https://mlsanity.com/paper/1711.00937/) (2017)
- [RoFormer: Enhanced Transformer with Rotary Position Embedding](https://mlsanity.com/paper/2104.09864/) (2021)
- [Gaussian Error Linear Units (GELUs)](https://mlsanity.com/paper/1606.08415/) (2016)
- [Training Compute-Optimal Large Language Models](https://mlsanity.com/paper/2203.15556/) (2022)
- [A Survey of Large Language Models](https://mlsanity.com/paper/2303.18223/) (2023)
- [A Time Series is Worth 64 Words: Long-term Forecasting with Transformers](https://mlsanity.com/paper/2211.14730/) (2022)
- [Language Models (Mostly) Know What They Know](https://mlsanity.com/paper/2207.05221/) (2022)
- [Autoformer: Decomposition Transformers with Auto-Correlation for Long-Term Series Forecasting](https://mlsanity.com/paper/2106.13008/) (2021)
- [Decision Transformer: Reinforcement Learning via Sequence Modeling](https://mlsanity.com/paper/2106.01345/) (2021)
- [Are Transformers Effective for Time Series Forecasting?](https://mlsanity.com/paper/2205.13504/) (2022)
- [Solving Quantitative Reasoning Problems with Language Models](https://mlsanity.com/paper/2206.14858/) (2022)
- [FEDformer: Frequency Enhanced Decomposed Transformer for Long-term Series Forecasting](https://mlsanity.com/paper/2201.12740/) (2022)
- [Interpretability in the Wild: a Circuit for Indirect Object Identification in GPT-2 small](https://mlsanity.com/paper/2211.00593/) (2022)
- [DeepAR: Probabilistic Forecasting with Autoregressive Recurrent Networks](https://mlsanity.com/paper/1704.04110/) (2017)
- [Progress measures for grokking via mechanistic interpretability](https://mlsanity.com/paper/2301.05217/) (2023)
- [A Generalist Agent](https://mlsanity.com/paper/2205.06175/) (2022)
- [Deep Reinforcement Learning at the Edge of the Statistical Precipice](https://mlsanity.com/paper/2108.13264/) (2021)
- [Efficient Transformers: A Survey](https://mlsanity.com/paper/2009.06732/) (2020)
- [Temporal Fusion Transformers for Interpretable Multi-horizon Time Series Forecasting](https://mlsanity.com/paper/1912.09363/) (2019)
- [N-BEATS: Neural basis expansion analysis for interpretable time series forecasting](https://mlsanity.com/paper/1905.10437/) (2019)
- [Offline Reinforcement Learning as One Big Sequence Modeling Problem](https://mlsanity.com/paper/2106.02039/) (2021)
- [Enhancing the Locality and Breaking the Memory Bottleneck of Transformer on Time Series Forecasting](https://mlsanity.com/paper/1907.00235/) (2019)
- [Transformers in Time Series: A Survey](https://mlsanity.com/paper/2202.07125/) (2022)
- [Harnessing the Power of LLMs in Practice: A Survey on ChatGPT and Beyond](https://mlsanity.com/paper/2304.13712/) (2023)

## Built on by (most cited first, 1 of 1)

- [Foundation Model Forecasts: Form and Function](https://mlsanity.com/paper/2510.19345/) (2025)

## Abstract (arXiv)

Time series methods are of fundamental importance in virtually any field of science that deals with temporally structured data. Recently, there has been a surge of deterministic transformer models with time series-specific architectural biases. In this paper, we go in a different direction by introducing tsGT, a stochastic time series model built on a general-purpose transformer architecture. We focus on using a well-known and theoretically justified rolling window backtesting and evaluation protocol. We show that tsGT outperforms the state-of-the-art models on MAD and RMSE, and surpasses its stochastic peers on QL and CRPS, on four commonly used datasets. We complement these results with a detailed analysis of tsGT's ability to model the data distribution and predict marginal quantile values.