Redesigning the model
TimesFM is a patched decoder that tokenizes every 32 contiguous timepoints (a patch) as an input token and applies a transformer stack on top of the sequence of input tokens to generate the output tokens. It then applies a shared multilayer perceptron (MLP) to translate each output token back to a time series of 128 timepoints.
To create TimesFM-ICF (In-Context Fine-tuning), we start with the base TimesFM model and continue the pre-training with new context: the forecast history plus all in-context examples. The first step is to make sure the model doesn’t confuse or conflate the forecasting history and the in-context examples. Imagine you’re giving the model a list of numbers that represent a few different things, maybe sunglasses sales figures from one store, then umbrella sales figures from another. If you just merge all those numbers together, the model might get confused, thinking it’s one continuous stream of data. For example, if the first store’s sales were going up and the second store’s sales were going down, the model might incorrectly see it as a single up-and-down pattern, rather than two separate, simple trends.
To fix this, we put a special, learnable “common separator token” — like a digital “stop sign” or a “new paragraph” symbol — after each set of numbers. With these separators in place, as soon as the model attends to the separator token of an example it has seen before, it won’t mix it up with the data it’s currently trying to predict. This theoretically allows the model to learn from patterns in those past examples and apply that knowledge to the current forecast. For instance, the model could learn that “all the store sales are showing consistent, directional trends lately, so I should predict an upward trend for my new store’s sunscreen sales.”
