TTMs: Fast Multi-level Tiny Time Mixers for Improved Zero-shot and Few-shot Forecasting of Multivariate Time Series

Large Pretrained models for Zero/Few-shot learning excel in language and vision domains but encounter challenges in multivariate time series (TS) due to the diverse nature and scarcity of publicly available pretraining data. Consequently, there has been a recent surge in utilizing pretrained large language models (LLMs) with various adaptations for time series forecasting. These approaches employ cross-domain transfer learning, yielding highly impressive results. However, these models are typically very large ($\sim$ billion parameters), exhibit slow execution, and do not consider cross-channel correlations. To address this, we present Multi-level Tiny Time Mixers (TTM), a significantly smaller model based on the lightweight TSMixer architecture. TTM marks the first success in developing tiny pretrained models ($\le$1 million parameters), exclusively trained on public TS data with effective transfer learning capabilities. To tackle the complexity of pretraining on multiple datasets with varied temporal resolutions, we introduce several novel enhancements such as adaptive patching, dataset augmentation via downsampling, and resolution prefix tuning. Moreover, we employ a multi-level modeling strategy to effectively model channel correlations and incorporate exogenous signals during finetuning, a crucial capability lacking in existing benchmarks. TTM excels in few/zero-shot forecasting, demonstrating significant accuracy gains (12-38%) over existing benchmarks. Further, it achieves a remarkable 14-106X reduction in model parameters, enabling 54-65X faster training/inference as compared to the LLM-TS benchmarks. In fact, TTM's zero-shot results often surpass the few-shot results in many benchmarks, highlighting the efficacy of our approach. Code and Pretrained Models will be open-sourced.