Multivariate Forecasting Evaluation: Nixtla-TimeGPT

Generative models are being used in all domains. While primarily built for processing texts and images, their reach has been further extended towards data-driven forecasting. Whereas there are many statistical, machine learning and deep learning models for predictive forecasting, generative models are special because they do not need to be trained beforehand, saving time and computational power. Also, multivariate forecasting with the existing models is difficult when the future horizons are unknown for the regressors because they add mode uncertainties in the forecasting process. Thus, this study experiments with TimeGPT(Zeroshot) by Nixtla where it tries to identify if the generative model can outperform other models like ARIMA, Prophet, NeuralProphet, Linear Regression, XGBoost, Random Forest, LSTM, and RNN. To determine this, the research created synthetic datasets and synthetic signals to assess the individual model performances and regressor performances for 12 models. The results then used the findings to assess the performance of TimeGPT in comparison to the best fitting models in different real-world scenarios. The results showed that TimeGPT outperforms multivariate forecasting for weekly granularities by automatically selecting important regressors whereas its performance for daily and monthly granularities is still weak.