# CLaST: Context-aware Contrastive VAE for Probabilistic Time Series Forecasting

arXiv: https://arxiv.org/abs/2608.20025 · HTML: https://mlsanity.com/paper/2608.20025/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 23 of its 40 references that are in the map.
- First posted on arXiv 20 Aug 2026.

## Builds on (most cited first, 23 of 23)

- [Denoising Diffusion Probabilistic Models](https://mlsanity.com/paper/2006.11239/) (2020)
- [Neural Ordinary Differential Equations](https://mlsanity.com/paper/1806.07366/) (2018)
- [Informer: Beyond Efficient Transformer for Long Sequence Time-Series Forecasting](https://mlsanity.com/paper/2012.07436/) (2020)
- [A Time Series is Worth 64 Words: Long-term Forecasting with Transformers](https://mlsanity.com/paper/2211.14730/) (2022)
- [Autoformer: Decomposition Transformers with Auto-Correlation for Long-Term Series Forecasting](https://mlsanity.com/paper/2106.13008/) (2021)
- [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)
- [MINE: Mutual Information Neural Estimation](https://mlsanity.com/paper/1801.04062/) (2018)
- [CSDI: Conditional Score-based Diffusion Models for Probabilistic Time Series Imputation](https://mlsanity.com/paper/2107.03502/) (2021)
- [Autoregressive Denoising Diffusion Models for Multivariate Probabilistic Time Series Forecasting](https://mlsanity.com/paper/2101.12072/) (2021)
- [CLUB: A Contrastive Log-ratio Upper Bound of Mutual Information](https://mlsanity.com/paper/2006.12013/) (2020)
- [GRU-ODE-Bayes: Continuous modeling of sporadically-observed time series](https://mlsanity.com/paper/1905.12374/) (2019)
- [Contrastive and Non-Contrastive Self-Supervised Learning Recover Global and Local Spectral Embedding Methods](https://mlsanity.com/paper/2205.11508/) (2022)
- [How to learn a graph from smooth signals](https://mlsanity.com/paper/1601.02513/) (2016)
- [A Survey on Graph Neural Networks for Time Series: Forecasting, Classification, Imputation, and Anomaly Detection](https://mlsanity.com/paper/2307.03759/) (2023)
- [Predict, Refine, Synthesize: Self-Guiding Diffusion Models for Probabilistic Time Series Forecasting](https://mlsanity.com/paper/2307.11494/) (2023)
- [fev-bench: A Realistic Benchmark for Time Series Forecasting](https://mlsanity.com/paper/2509.26468/) (2025)
- [ProbTS: Benchmarking Point and Distributional Forecasting across Diverse Prediction Horizons](https://mlsanity.com/paper/2310.07446/) (2023)
- [Tight Mutual Information Estimation With Contrastive Fenchel-Legendre Optimization](https://mlsanity.com/paper/2107.01131/) (2021)
- [Neural Entropic Estimation: A faster path to mutual information estimation](https://mlsanity.com/paper/1905.12957/) (2019)
- [K2VAE: A Koopman-Kalman Enhanced Variational AutoEncoder for Probabilistic Time Series Forecasting](https://mlsanity.com/paper/2505.23017/) (2025)
- [DeNOTS: Stable Deep Neural ODEs for Time Series](https://mlsanity.com/paper/2408.08055/) (2024)

## Abstract (arXiv)

Probabilistic forecasting models are widely used for time series forecasting in domains such as energy systems, finance, medicine, and transportation. In recent years, deep generative models have shown strong results on probabilistic forecasting, yet many conventional approaches struggle to capture internal temporal dependencies, leading to latent representations with limited expressive power. To address this limitation, we propose textitCLaST, a VAE framework for probabilistic multivariate time series forecasting. Unlike existing generative models, CLaST learns embeddings that preserve contextual similarity between observations through our contrastive loss function. Experiments across nine widely adopted benchmarks demonstrate that CLaST consistently surpasses strong baseline methods. In short-term forecasting tasks, our approach achieves improvements of up to 16.4% in CRPS and 14.4% in NMAE over the second-best method. Furthermore, in long-term prediction CLaST attains superior overall performance, exceeding the second-best method by up to 48.6% and 25.1% in CRPS and NMAE, respectively.