Time Series Forecasting is the process of predicting future values based on historical data points collected over time. It identifies patterns such as trends, seasonality, and cycles within the data to make predictions. Techniques like statistical methods (ARIMA), machine learning, and deep learning (LSTM) are commonly used. Time series forecasting is widely applied in fields like finance, energy, weather prediction, and supply chain management to inform decision-making and optimize resource allocation.

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TimeCAP: Learning to Contextualize, Augment, and Predict Time Series Events with Large Language Model Agents

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Time series data is essential in various applications, including climate modeling, healthcare monitoring, and financial analytics. Understanding the contextual information associated with real-world time series data is often essential for accurate and reliable event predictions. In this paper, we introduce TimeCAP, a time-series processing framework that creatively employs Large Language Models (LLMs) as contextualizers of time series data, extending their typical usage as predictors. TimeCAP incorporates two independent LLM agents: one generates a textual summary capturing the context of the time series, while the other uses this enriched summary to make more informed predictions. In addition, TimeCAP employs a multi-modal encoder that synergizes with the LLM agents, enhancing predictive performance through mutual augmentation of inputs with in-context examples. Experimental results on real-world datasets demonstrate that TimeCAP outperforms state-of-the-art methods for time series event prediction, including those utilizing LLMs as predictors, achieving an average improvement of 28.75% in F1 score.

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