Time Series Library (TSLib)

TSLib is an open-source library for deep learning researchers, especially for deep time series analysis.

We provide a neat code base to evaluate advanced deep time series models or develop your model, which covers five mainstream tasks: long- and short-term forecasting, imputation, anomaly detection, and classification.

🚩News (2024.10) We have included [TimeXer], which defined a practical forecasting paradigm: Forecasting with Exogenous Variables. Considering both practicability and computation efficiency, we believe the new forecasting paradigm defined in TimeXer can be the "right" task for future research.

🚩News (2024.10) Our lab has open-sourced [OpenLTM], which provides a distinct pretrain-finetuning paradigm compared to TSLib. If you are interested in Large Time Series Models, you may find this repository helpful.

🚩News (2024.07) We wrote a comprehensive survey of [Deep Time Series Models] with a rigorous benchmark based on TSLib. In this paper, we summarized the design principles of current time series models supported by insightful experiments, hoping to be helpful to future research.

🚩News (2024.04) Many thanks for the great work from frecklebars. The famous sequential model Mamba has been included in our library. See this file, where you need to install mamba_ssm with pip at first.

🚩News (2024.03) Given the inconsistent look-back length of various papers, we split the long-term forecasting in the leaderboard into two categories: Look-Back-96 and Look-Back-Searching. We recommend researchers read TimeMixer, which includes both look-back length settings in experiments for scientific rigor.

🚩News (2023.10) We add an implementation to iTransformer, which is the state-of-the-art model for long-term forecasting. The official code and complete scripts of iTransformer can be found here.

🚩News (2023.09) We added a detailed tutorial for TimesNet and this library, which is quite friendly to beginners of deep time series analysis.

🚩News (2023.02) We release the TSlib as a comprehensive benchmark and code base for time series models, which is extended from our previous GitHub repository Autoformer.

Leaderboard for Time Series Analysis

Till March 2024, the top three models for five different tasks are:

Model Ranking	Long-term Forecasting Look-Back-96	Long-term Forecasting Look-Back-Searching	Short-term Forecasting	Imputation	Classification	Anomaly Detection
🥇 1st	TimeXer	TimeMixer	TimesNet	TimesNet	TimesNet	TimesNet
🥈 2nd	iTransformer	PatchTST	Non-stationary Transformer	Non-stationary Transformer	Non-stationary Transformer	FEDformer
🥉 3rd	TimeMixer	DLinear	FEDformer	Autoformer	Informer	Autoformer

Note: We will keep updating this leaderboard. If you have proposed advanced and awesome models, you can send us your paper/code link or raise a pull request. We will add them to this repo and update the leaderboard as soon as possible.

Compared models of this leaderboard. ☑ means that their codes have already been included in this repo.

See our latest paper [TimesNet] for the comprehensive benchmark. We will release a real-time updated online version soon.

Newly added baselines. We will add them to the leaderboard after a comprehensive evaluation.

Usage

Install Python 3.8. For convenience, execute the following command.

pip install -r requirements.txt

Prepare Data. You can obtain the well pre-processed datasets from [Google Drive] or [Baidu Drive], Then place the downloaded data in the folder./dataset. Here is a summary of supported datasets.

Train and evaluate model. We provide the experiment scripts for all benchmarks under the folder ./scripts/. You can reproduce the experiment results as the following examples:

# long-term forecast
bash ./scripts/long_term_forecast/ETT_script/TimesNet_ETTh1.sh
# short-term forecast
bash ./scripts/short_term_forecast/TimesNet_M4.sh
# imputation
bash ./scripts/imputation/ETT_script/TimesNet_ETTh1.sh
# anomaly detection
bash ./scripts/anomaly_detection/PSM/TimesNet.sh
# classification
bash ./scripts/classification/TimesNet.sh

Develop your own model.

Add the model file to the folder ./models. You can follow the ./models/Transformer.py.
Include the newly added model in the Exp_Basic.model_dict of ./exp/exp_basic.py.
Create the corresponding scripts under the folder ./scripts.

Note:

(1) About classification: Since we include all five tasks in a unified code base, the accuracy of each subtask may fluctuate but the average performance can be reproduced (even a bit better). We have provided the reproduced checkpoints here.

(2) About anomaly detection: Some discussion about the adjustment strategy in anomaly detection can be found here. The key point is that the adjustment strategy corresponds to an event-level metric.

Citation

If you find this repo useful, please cite our paper.

@inproceedings{wu2023timesnet,
  title={TimesNet: Temporal 2D-Variation Modeling for General Time Series Analysis},
  author={Haixu Wu and Tengge Hu and Yong Liu and Hang Zhou and Jianmin Wang and Mingsheng Long},
  booktitle={International Conference on Learning Representations},
  year={2023},
}

@article{wang2024tssurvey,
  title={Deep Time Series Models: A Comprehensive Survey and Benchmark},
  author={Yuxuan Wang and Haixu Wu and Jiaxiang Dong and Yong Liu and Mingsheng Long and Jianmin Wang},
  booktitle={arXiv preprint arXiv:2407.13278},
  year={2024},
}

Contact

If you have any questions or suggestions, feel free to contact our maintenance team:

Current:

Haixu Wu (Ph.D. student, wuhx23@mails.tsinghua.edu.cn)
Yong Liu (Ph.D. student, liuyong21@mails.tsinghua.edu.cn)
Yuxuan Wang (Ph.D. student, wangyuxu22@mails.tsinghua.edu.cn)
Huikun Weng (Undergraduate, wenghk22@mails.tsinghua.edu.cn)

Previous:

Tengge Hu (Master student, htg21@mails.tsinghua.edu.cn)
Haoran Zhang (Master student, z-hr20@mails.tsinghua.edu.cn)
Jiawei Guo (Undergraduate, guo-jw21@mails.tsinghua.edu.cn)

Or describe it in Issues.

Acknowledgement

This project is supported by the National Key R&D Program of China (2021YFB1715200).

This library is constructed based on the following repos:

Forecasting: https://github.com/thuml/Autoformer.
Anomaly Detection: https://github.com/thuml/Anomaly-Transformer.
Classification: https://github.com/thuml/Flowformer.

All the experiment datasets are public, and we obtain them from the following links:

All Thanks To Our Contributors

License

autonlab/Time-Series-Library

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