Unified Time Series Model

UniTS is a unified time series model that can process various tasks across multiple domains with shared parameters and does not have any task-specific modules.

Foundation models, especially LLMs, are profoundly transforming deep learning. Instead of training many task-specific models, we can adapt a single pretrained model to many tasks via few-shot prompting or fine-tuning. However, current foundation models apply to sequence data but not to time series, which present unique challenges due to the inherent diverse and multi-domain time series datasets, diverging task specifications across forecasting, classification and other types of tasks, and the apparent need for task-specialized models. 

We developed UniTS, a unified time series model that supports a universal task specification, accommodating classification, forecasting, imputation, and anomaly detection tasks. This is achieved through a novel unified network backbone, which incorporates sequence and variable attention along with a dynamic linear operator and is trained as a unified model. 

Across 38 multi-domain datasets, UniTS demonstrates superior performance compared to task-specific models and repurposed natural language-based LLMs. UniTS exhibits remarkable zero-shot, few-shot, and prompt learning capabilities when evaluated on new data domains and tasks. We will release the source code and datasets.