Torben Berndt, Lingyi Yang, Federico Nardi, Yi Heng Lim, AJ Shears, Benjamin Walker
原文摘要
Time series foundation models have demonstrated strong zero-shot forecasting performance, but computational efficiency remains a central architectural challenge. Temporal self-attention incurs quadratic cost in the number of temporal tokens, while nonlinear recurrent state transitions restrict parallel computation along the temporal dimension. We introduce ci-proto, a family of time series foundation models based on Mamba-3, whose linear state recurrences support chunk-wise parallel-in-time computation during training, and inference costs that scale linearly with sequence length. The architecture alternates recurrent temporal processing with cross-variate attention, supporting multivariate probabilistic forecasting with past-only and future-known covariates. Across fev-bench's 100 forecasting tasks, ci-proto XL sets a new state of the art among time series foundation models. The five ci-proto variants also make up the entire Pareto frontier for mean scaled quantile loss and mean absolute scaled error against both parameter count and median runtime.
Benjamin Walker, Alexandre Bloch, Lingyi Yang, Sam Morley, Terry Lyons
原文摘要
Continuous-time models are a natural choice for irregular and asynchronous data. A central design choice is how to embed discrete observations into continuous time. Interpolation- and imputation-based embeddings reconstruct a continuous observation path, making the model sensitive to the choice of reconstruction. We show that this reconstruction step is unnecessary; under mild conditions, compact-set universality on the model input space transfers to the data space whenever the embedding from data to input is continuous and injective. Guided by this result, and building on the rectilinear control path for Neural Controlled Differential Equations (NCDEs), we introduce a continuous and injective embedding for Log-NCDEs, a universal class of continuous-time models. Our approach records observations as increments and composes them over arbitrary query intervals to directly form log-signatures. This provides interval-level summaries without first interpolating the observed variables, while supporting online computation. Experiments on synthetic controlled dynamics and real-world time-series datasets show that the representation is accurate, efficient, and robust to irregular, asynchronous, and sparse observations.