google-research / timesfm

TimesFM (Time Series Foundation Model) is a pretrained time-series foundation model developed by Google Research for time-series forecasting.
https://research.google/blog/a-decoder-only-foundation-model-for-time-series-forecasting/
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experimental_quantile_forecast are always the same regardless of different quantiles choices? #38

Closed houghtonweihu closed 1 month ago

houghtonweihu commented 1 month ago

I tried two different quantiles:

quantiles = [0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9],
quantiles = [0.1, 0.2, 0.3, 0.4, 0.5, 0.90, 0.95, 0.98, 0.99],

but the experimental_quantile_forecast are always the same.

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sdmorrey commented 1 month ago

If I'm reading the paper correctly the quantile heads need to be fine tuned by the end user. Which makes sense when you stop and think about it, they're the part most likely to be reliant on unseen data.

rajatsen91 commented 1 month ago

Sorry for the confusion. During pretraining we only train for quantiles=[0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9]. Therefore at the moment the current checkpoint can only infer those quantiles.