Zero-shot Forecasting by Simulation Alone

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Authors: Boris N. Oreshkin, Mayank Jauhari, Ravi Kiran Selvam, M. Wolff, W. Pan, Shankar Ramasubramanian, Kin G. Olivares, T. S. Konstantinova, Andres Potapczynski, Mengfei Cao, D. I. Efimov, Michael W. Mahoney
+1 more Andrew G. Wilson
Cited by: 1

Abstract

Zero-shot time-series forecasting holds great promise, but is still in its infancy, hindered by limited and biased data corpora, leakage-prone evaluation, and privacy and licensing constraints. Motivated by these challenges, we propose the first practical univariate time series simulation pipeline which is simultaneously fast enough for on-the-fly data generation and enables notable zero-shot forecasting performance on M-Series and GiftEval benchmarks that capture trend/seasonality/intermittency patterns, typical of industrial forecasting applications across a variety of domains. Our simulator, which we call SarSim0 (SARIMA Simulator for Zero-Shot Forecasting), is based off of a seasonal autoregressive integrated moving average (SARIMA) model as its core data source. Due to instability in the autoregressive component, naive SARIMA simulation often leads to unusable paths. Instead, we follow a three-step procedure: (1) we sample well-behaved trajectories from its characteristic polynomial stability region; (2) we introduce a superposition scheme that combines multiple paths into rich multi-seasonality traces; and (3) we add rate-based heavy-tailed noise models to capture burstiness and intermittency alongside seasonalities and trends. SarSim0 is orders of magnitude faster than kernel-based generators, and it enables training on circa 1B unique purely simulated series, generated on the fly; after which well-established neural network backbones exhibit strong zero-shot generalization, surpassing strong statistical forecasters and recent foundation baselines, while operating under strict zero-shot protocol. Notably, on GiftEval we observe a "student-beats-teacher" effect: models trained on our simulations exceed the forecasting accuracy of the AutoARIMA generating processes.

Fields of Study & Subjects

Forecasting Techniques and Applications Stock Market Forecasting Methods Gaussian Processes and Bayesian Inference

Publication details

Journal / source
arXiv (Cornell University)
Publication date
2 January 2026
Document type
Preprint