TS-ICL: A Flexible Time-Indexed Foundation Model for Time Series via In-Context Learning
About
Foundation models mark a profound paradigm shift in time series modeling, with task-specific models being superseded by general-purpose zero-shot models. Yet, current approaches primarily focus on forecasting, while real-world time series are often irregularly and partially observed, requiring models that can jointly forecast, impute missing values, and handle degraded sampling conditions. To address these challenges, we introduce TS-ICL, a novel probabilistic In-Context Learning encoder--regressor Transformer that unifies forecasting and imputation. TS-ICL formulates time series tasks as timestamp-aligned regression and naturally incorporates covariates by training on synthetic dependency structures generated from a novel causal data prior. Empirically, TS-ICL achieves a new state-of-the-art in imputation, while remaining competitive with leading forecasting foundation models across both univariate and covariate-aware benchmarks. It shows particularly strong performance in forecasting with partially observed look-back windows.
Related benchmarks
| Task | Dataset | Result | Rank | |
|---|---|---|---|---|
| Time Series Forecasting | TIME univariate setting 98 tasks | MASE0.902 | 13 | |
| Univariate Forecasting | fev-bench 100 tasks | MASE1.15 | 9 | |
| Imputation | fm-impute-bench univariate setting | NMAE0.243 | 8 | |
| Time Series Forecasting | fev-bench univariate setting | Median Inference Time (s/window)1.54 | 8 | |
| Forecasting | fev-bench 30 covariate-aware tasks (test) | MASE1.117 | 8 | |
| Imputation | fm-impute-bench univariate | Inference Time (s/window)6.51 | 8 | |
| Imputation | fm-impute-bench known covariates setting | NMAE0.077 | 7 | |
| Univariate time series imputation | TIME benchmark 392 tasks | MASE0.579 | 6 |