TempusBench: An Evaluation Framework for Time-Series Forecasting

Foundation models have transformed natural language processing and computer vision, and a rapidly growing literature on time-series foundation models (TSFMs) seeks to replicate this success in forecasting. While recent open-source models demonstrate the promise of TSFMs, the field lacks a comprehensive and community-accepted model evaluation framework.

We see at least four major issues impeding progress on the development of such a framework. First, current evaluation frameworks consist of benchmark forecasting tasks derived from often outdated datasets (e.g., M3), many of which lack clear metadata and overlap with the corpora used to pre-train TSFMs.

Second, existing frameworks evaluate models along a narrowly defined set of benchmark forecasting tasks such as forecast horizon length or domain, but overlook core statistical properties such as non-stationarity and seasonality. Third, domain-specific models (e.g., XGBoost) are often compared unfairly, as existing frameworks neglect a systematic and consistent hyperparameter tuning convention for all models.

Fourth, visualization tools for interpreting comparative performance are lacking. To address these issues, we introduce TempusBench, an open-source evaluation framework for TSFMs.

TempusBench consists of 1) new datasets which are not included in existing TSFM pretraining corpora, 2) a set of novel benchmark tasks that go beyond existing ones, 3) a model evaluation pipeline with a standardized hyperparameter tuning protocol, and 4) a tensorboard-based visualization interface. We provide access to our code on GitHub: https://github.com/Smlcrm/TempusBench.