Improve Forecast Accuracy with TimeGPT

This guide demonstrates how to improve forecast accuracy using TimeGPT. We use hourly electricity price data from Germany as an illustrative example. Before you begin, make sure you have initialized the NixtlaClient object with your API key.

Forecasting Results Overview

Below is a summary of our experiments and the corresponding accuracy improvements. We progressively refine forecasts by adding fine-tuning steps, adjusting loss functions, increasing the number of fine-tuned parameters, incorporating exogenous variables, and switching to a long-horizon model.

Steps	Description	MAE	MAE Improvement (%)	RMSE	RMSE Improvement (%)
0	Zero-Shot TimeGPT	18.5	N/A	20.0	N/A
1	Add Fine-Tuning Steps	11.5	38%	12.6	37%
2	Adjust Fine-Tuning Loss	9.6	48%	11.0	45%
3	Fine-tune More Parameters	9.0	51%	11.3	44%
4	Add Exogenous Variables	4.6	75%	6.4	68%
5	Switch to Long-Horizon Model	6.4	65%	7.7	62%

Step-by-Step Guide

Step 1: Install and Import Packages

Make sure all necessary libraries are installed and imported. Then set up the Nixtla client (replace with your actual API key).

import numpy as np
import pandas as pd
from utilsforecast.evaluation import evaluate
from utilsforecast.plotting import plot_series
from utilsforecast.losses import mae, rmse
from nixtla import NixtlaClient

nixtla_client = NixtlaClient(
    # api_key='my_api_key_provided_by_nixtla'
)

Step 2: Load the Dataset

We use hourly electricity price data from Germany (unique_id == "DE"). The final two days (48 data points) form the test set.

df = pd.read_csv('https://raw.githubusercontent.com/Nixtla/transfer-learning-time-series/main/datasets/electricity-short-with-ex-vars.csv')
df['ds'] = pd.to_datetime(df['ds'])

df_sub = df.query('unique_id == "DE"')

df_train = df_sub.query('ds < "2017-12-29"')
df_test = df_sub.query('ds >= "2017-12-29"')

df_train.shape, df_test.shape

Dataset Load Output

Dataset Shape Output

((1632, 12), (48, 12))

Electricity Price Over Time — Hourly electricity price for Germany (training period highlighted).

Step 3: Benchmark Forecast with TimeGPT

Info: We first generate a zero-shot forecast using TimeGPT, which captures overall trends but may struggle with short-term fluctuations.

fcst_timegpt = nixtla_client.forecast(
    df=df_train[['unique_id', 'ds', 'y']],
    h=2*24,
    target_col='y',
    level=[90, 95]
)

Forecasting Log Output

Forecast Logs

[INFO logs here...]

Evaluation Metrics

unique_id	metric	TimeGPT
DE	mae	18.519
DE	rmse	20.038

TimeGPT Forecast for Germany — Zero-shot TimeGPT Forecast

Step 4: Methods to Enhance Forecasting Accuracy

Use these following strategies to refine and improve your forecast:

4.1 Add Fine-tuning Steps

Further fine-tuning typically reduces forecasting errors by adjusting the internal weights of the TimeGPT model, allowing it to better adapt to your specific data.

fcst_df = nixtla_client.forecast(df=df_train[['unique_id', 'ds', 'y']],
                                 h=24*2,
                                 finetune_steps = 30,
                                 level=[90, 95])

Evaluation result:

unique_id	metric	TimeGPT
DE	mae	11.458
DE	rmse	12.643

4.2 Fine-tune Using Different Loss Functions

Trying different loss functions (e.g., MAE, MSE) can yield better results for specific use cases.

fcst_df = nixtla_client.forecast(df=df_train[['unique_id', 'ds', 'y']],
                                 h=24*2,
                                 finetune_steps = 30,
                                 finetune_loss = 'mae',
                                 level=[90, 95])

Evaluation result:

unique_id	metric	TimeGPT
DE	mae	9.641
DE	rmse	10.956

4.3 Adjust Number of Fine-tuned Parameters

The finetune_depth parameter controls how many model layers are fine-tuned. It ranges from 1 (few parameters) to 5 (more parameters).

fcst_df = nixtla_client.forecast(df=df_train[['unique_id', 'ds', 'y']],
                                 h=24*2,
                                 finetune_steps = 30,
                                 finetune_depth=2,
                                 finetune_loss = 'mae',
                                 level=[90, 95])

Evaluation result:

unique_id	metric	TimeGPT
DE	mae	9.002
DE	rmse	11.348

4.4 Forecast with Exogenous Variables

Incorporate external data (e.g., weather conditions) to boost predictive performance.

#import exogenous variables
future_ex_vars_df = df_test.drop(columns = ['y'])
future_ex_vars_df.head()

#make forecast with historical and future exogenous variables
fcst_df = nixtla_client.forecast(df=df_train,
                                 X_df=future_ex_vars_df,
                                 h=24*2,
                                 level=[90, 95])

Evaluation result:

unique_id	metric	TimeGPT
DE	mae	4.603
DE	rmse	6.359

4.5 Use a Long-Horizon Model

For longer forecasting periods, models optimized for multi-step predictions tend to perform better. You can enable this by setting the model parameter to timegpt-1-long-horizon.

fcst_df = nixtla_client.forecast(df=df_train[['unique_id', 'ds', 'y']],
                                 h=24*2,
                                 model = 'timegpt-1-long-horizon',
                                 level=[90, 95])

Evaluation result:

unique_id	metric	TimeGPT
DE	mae	6.366
DE	rmse	7.738

Step 5: Conclusion and Next Steps

Key takeaways: The following strategies offer consistent improvements in forecast accuracy. We recommend systematically experimenting with each approach to find the best combination for your data.

Increase the number of fine-tuning steps.
Experiment with different loss functions.
Incorporate exogenous data.
Switching to the long-horizon model for extended forecasting periods.

Success: Small refinements—like adding exogenous data or adjusting fine-tuning parameters—can significantly improve your forecasting results.

Result Summary

Steps	Description	MAE	MAE Improvement (%)	RMSE	RMSE Improvement (%)
0	Zero-Shot TimeGPT	18.5	N/A	20.0	N/A
1	Add Fine-Tuning Steps	11.5	38%	12.6	37%
2	Adjust Fine-Tuning Loss	9.6	48%	11.0	45%
3	Fine-tune More Parameters	9.0	51%	11.3	44%
4	Add Exogenous Variables	4.6	75%	6.4	68%
5	Switch to Long-Horizon Model	6.4	65%	7.7	62%

INTRODUCTION

SETUP

DATA REQUIREMENTS

FORECASTING

ANOMALY DETECTION

USE CASES

REFERENCE

About

Improve Forecast Accuracy with TimeGPT

Improve Forecast Accuracy with TimeGPT

Forecasting Results Overview

Step-by-Step Guide

Step 1: Install and Import Packages

Step 2: Load the Dataset

Step 3: Benchmark Forecast with TimeGPT

Evaluation Metrics

Step 4: Methods to Enhance Forecasting Accuracy

4.1 Add Fine-tuning Steps

4.2 Fine-tune Using Different Loss Functions

4.3 Adjust Number of Fine-tuned Parameters

4.4 Forecast with Exogenous Variables

4.5 Use a Long-Horizon Model

Step 5: Conclusion and Next Steps

Result Summary

​Improve Forecast Accuracy with TimeGPT

​Forecasting Results Overview

​Step-by-Step Guide

​Step 1: Install and Import Packages

​Step 2: Load the Dataset

​Step 3: Benchmark Forecast with TimeGPT

​Evaluation Metrics

​Step 4: Methods to Enhance Forecasting Accuracy

​4.1 Add Fine-tuning Steps

​4.2 Fine-tune Using Different Loss Functions

​4.3 Adjust Number of Fine-tuned Parameters

​4.4 Forecast with Exogenous Variables

​4.5 Use a Long-Horizon Model

​Step 5: Conclusion and Next Steps

​Result Summary

Improve Forecast Accuracy with TimeGPT

Forecasting Results Overview

Step-by-Step Guide

Step 1: Install and Import Packages

Step 2: Load the Dataset

Step 3: Benchmark Forecast with TimeGPT

Evaluation Metrics

Step 4: Methods to Enhance Forecasting Accuracy

4.1 Add Fine-tuning Steps

4.2 Fine-tune Using Different Loss Functions

4.3 Adjust Number of Fine-tuned Parameters

4.4 Forecast with Exogenous Variables

4.5 Use a Long-Horizon Model

Step 5: Conclusion and Next Steps

Result Summary