Aurora: Towards Universal Generative Multimodal Time Series Forecasting

Cross-domain generalization is very important in Time Series Forecasting because similar historical information may lead to distinct future trends due to different domain-specific characteristics. Recent works focus on building unimodal time series foundation models and end-to-end multimodal supervised models. Since domain-specific knowledge is often contained in modalities like texts, the former lacks the explicit utilization of them, thus hindering the performance; and the latter is tailored for end-to-end scenarios and does not support zero-shot inference for cross-domain scenarios. In this work, we introduce Aurora, the first Multimodal Time Series Foundation Model, which supports multimodal inputs and zero-shot inference. Pretrained on Cross-domain Multimodal Time Series Corpus, Aurora adaptively extracts and focuses on key domain knowledge contained in corresponding text or image modalities, thus possessing strong cross-domain generalization capability. Through tokenization, encoding, and distillation, Aurora extracts multimodal domain knowledge as guidance and then utilizes a Modality-Guided Multi-head Self-Attention to inject them into the modeling of temporal representations. In the decoding phase, the multimodal representations are used to generate the conditions and prototypes of future tokens, contributing to a novel Prototype-Guided Flow Matching for generative probabilistic forecasting. Comprehensive experiments on 5 well-recognized benchmarks, including TimeMMD, TSFM-Bench, ProbTS, TFB, and EPF, demonstrate the consistent state-of-the-art performance of Aurora on both unimodal and multimodal scenarios.