tsfmx 1.3.0

Multimodal extension for time series foundation models

TSFMx

TSFMx (TSFMx Standardizes Fusion of Multimodal exogenous features) is a framework for extending TSFMs (including TimesFM and Chronos) with multimodal inputs such as text.

Installation

pip install tsfmx[all]

Quick Start

1. Setup

Clone the Time-MMD dataset:

./scripts/clone_time_mmd.sh

Split the dataset into train / val / test:

PYTHONPATH=. uv run python scripts/split_time_mmd_datasets.py \
    --train-ratio 0.7 \
    --val-ratio 0.1

2. Pre-compute Text Embeddings

TimesFM:

PYTHONPATH=. uv run python scripts/cache_time_mmd_datasets.py \
    --model-config examples/time_mmd/configs/models/timesfm.yml \
    --text-encoder-type english
PYTHONPATH=. uv run python scripts/cache_time_mmd_datasets.py \
    --model-config examples/time_mmd/configs/models/timesfm.yml \
    --text-encoder-type english --augment

Chronos:

PYTHONPATH=. uv run python scripts/cache_time_mmd_datasets.py \
    --model-config examples/time_mmd/configs/models/chronos.yml \
    --text-encoder-type english
PYTHONPATH=. uv run python scripts/cache_time_mmd_datasets.py \
    --model-config examples/time_mmd/configs/models/chronos.yml \
    --text-encoder-type english --augment

3. Fusion Hyperparameter Tuning

Run a W&B Sweeps search for the fusion mode (adapter frozen, fusion layer trained):

TimesFM:

PYTHONPATH=. uv run python scripts/tune_time_mmd_fusion_sweep.py \
    --model-config examples/time_mmd/configs/models/timesfm.yml \
    --sweep-config examples/time_mmd/configs/sweeps/fusion_3layers.yml

Chronos:

PYTHONPATH=. uv run python scripts/tune_time_mmd_fusion_sweep.py \
    --model-config examples/time_mmd/configs/models/chronos.yml \
    --sweep-config examples/time_mmd/configs/sweeps/fusion_3layers.yml

To run the adapter mode (adapter fine-tuned, no fusion):

TimesFM:

PYTHONPATH=. uv run python scripts/tune_time_mmd_adapter_sweep.py \
    --model-config examples/time_mmd/configs/models/timesfm.yml \
    --sweep-config examples/time_mmd/configs/sweeps/adapter.yml

Chronos:

PYTHONPATH=. uv run python scripts/tune_time_mmd_adapter_sweep.py \
    --model-config examples/time_mmd/configs/models/chronos.yml \
    --sweep-config examples/time_mmd/configs/sweeps/adapter.yml

4. Fine-tune Hyperparameter Tuning

After fusion tuning, run a W&B Sweeps search for the finetune mode (adapter + fusion trained jointly), starting from the best fusion checkpoint:

TimesFM:

PYTHONPATH=. uv run python scripts/tune_time_mmd_finetune_sweep.py \
    --model-config examples/time_mmd/configs/models/timesfm.yml \
    --sweep-config examples/time_mmd/configs/sweeps/finetune_1layer.yml \
    --fusion-checkpoint-path outputs/sweeps/fusion/best_checkpoints/best_val_loss.pt

Chronos:

PYTHONPATH=. uv run python scripts/tune_time_mmd_finetune_sweep.py \
    --model-config examples/time_mmd/configs/models/chronos.yml \
    --sweep-config examples/time_mmd/configs/sweeps/finetune_1layer.yml \
    --fusion-checkpoint-path outputs/sweeps/fusion/best_checkpoints/best_val_loss.pt

5. Visualize Forecasts

After training, generate per-sample forecast plots from a saved checkpoint:

TimesFM:

PYTHONPATH=. uv run python scripts/visualize_time_mmd_predictions.py \
    --model-config examples/time_mmd/configs/models/timesfm.yml \
    --checkpoint-path outputs/sweeps/fusion/best_checkpoints/best_val_loss.pt \
    --output-dir outputs/visualizations/timesfm

Chronos:

PYTHONPATH=. uv run python scripts/visualize_time_mmd_predictions.py \
    --model-config examples/time_mmd/configs/models/chronos.yml \
    --checkpoint-path outputs/sweeps/fusion/best_checkpoints/best_val_loss.pt \
    --output-dir outputs/visualizations/chronos

Use --max-samples N to limit the number of plots per split, and --splits train val test to select which splits to visualize.

Benchmark Comparison with MM-TSFlib

MM-TSFlib is cloned under third_party/MM-TSFlib (not tracked by git). MM-TSFlib is run on its own pre-processed Time-MMD CSVs; tsfmx is evaluated on the raw Time-MMD data split 70/10/20. Both cover the same underlying domains and split ratio.

./scripts/setup_mm_tsflib.sh

1. Run MM-TSFlib benchmark

./scripts/run_mm_tsflib_benchmark.sh 0 Autoformer YOUR_HF_TOKEN

Requires a HuggingFace token with access to LLaMA 3.

2. Evaluate tsfmx checkpoint

PYTHONPATH=. uv run python scripts/eval_tsfmx_checkpoint.py \
    --model-config examples/time_mmd/configs/models/timesfm.yml \
    --checkpoint-path outputs/sweeps/fusion/best_checkpoints/best_val_loss.pt

3. Compare results

PYTHONPATH=. uv run python scripts/compare_benchmark_results.py

Acknowledgments

We thank the Time-MMD team for providing the multimodal time series dataset used in our examples and experiments.

License

MIT