Kangjia Yan | Searcharxiv

arXiv2026

Bridging Time and Frequency: A Joint Modeling Framework for Irregular Multivariate Time Series Forecasting

Irregular multivariate time series forecasting (IMTSF) is challenging due to non-uniform sampling and variable asynchronicity. These irregularities violate the equidistant assumptions of standard models, hindering local temporal modeling and rendering classical frequency-domain methods ineffective for capturing global periodic structures. To address this challenge, we propose TFMixer, a joint time-frequency modeling framework for IMTS forecasting. Specifically, TFMixer incorporates a Global Frequency Module that employs a learnable Non-Uniform Discrete Fourier Transform (NUDFT) to directly extract spectral representations from irregular timestamps. In parallel, the Local Time Module introduces a query-based patch mixing mechanism to adaptively aggregate informative temporal patches and alleviate information density imbalance. Finally, TFMixer fuses the time-domain and frequency-domain representations to generate forecasts and further leverages inverse NUDFT for explicit seasonal extrapolation. Extensive experiments on real-world datasets demonstrate the state--of-the-art performance of TFMixer.

cs.LG↗

arXiv2025

Invariant Representation Learning for Source-Free Time Series Forecasting with LLM-Centric Proxy Denoising

Effective time series forecasting enables various real-world applications, benefiting from the proliferation of mobile devices. However, the volume of time series data may vary significantly across domains due to high data acquisition costs and data regulations. To maximally create value from sparse data, this study focuses on a new problem of source-free time series forecasting, aiming to adapt a pretrained model from sufficient source time series to the sparse target time series without access to the source data, enabling data protection. To achieve this, we propose TimeID, a novel source-free time series forecasting framework with a large language model (LLM) centric proxy denoising inspired by the powerful generalization capabilities of LLMs. Specifically, TimeID consists of three key components: (1) dual-branch invariant disentangled feature learning that enforces representation- and gradient-wise invariance by means of season-trend decomposition; (2) lightweight, parameter-free proxy denoising that dynamically calibrates systematic biases of LLMs; and (3) knowledge distillation that bidirectionally aligns the denoised prediction and the original target prediction. Extensive experiments on real-world datasets demonstrate that TimeID outperforms state-of-the-art baselines, improving MSE and MAE by 10.7% and 9.3% on average. The code is available at https://github.com/decisionintelligence/TimeID.

cs.LG↗