Automated Model Selection for Multivariate Time Series Forecasting

Accurate multivariate time series forecasting (MTSF) is critical for intelligent web services in Web of Things. When confronted with unseen multivariate time series (MTS), the industry typically invests significant time and resources in training multiple models to identify the optimal model for deployment. This paper proposes a novel, efficient, and scalable MTSF model selection method that directly selects suitable MTSF methods based on data characteristics without extensive model training. Model selection is a core component of AutoML, which has made significant progress in recent years. However, existing methods incur high operational costs and cannot be directly applied to MTSF tasks. Moreover, there is a lack of a comprehensive and cohesive public time series library for MTSF model selection. To address these challenges, we compile the first large heterogeneous labeled MTSF model selection dataset, called the ModelPile, which covers 41 mainstream datasets across 11 domains. We then propose AutoMTSF, a large model-enabled model selection method that transforms the MTSF model selection problem into a time series classification problem and utilizes the ModelPile to unlock large-scale multi-dataset training. AutoMTSF first uses the pre-trained large model to encode raw MTS. Given the coarse-grained limitations of large model encoding, Recursive Temporal Pattern Feature (RTPF) is proposed to capture both fine-grained and global temporal feature evolution, thereby effectively mapping data characteristics to the MTSF method space. Experiments comparing AutoMTSF with 2 baselines, 17 MTSF methods, and 4 large time series models show that AutoMTSF outperforms state-of-the-art methods while maintaining comparable execution time. This work represents a critical step in validating the accuracy and efficiency of large model-enabled classification for MTSF.