In this article, we will see how transfer learning can be applied to time series forecasting, and how forecasting models can be trained once on a diverse time series dataset and used later on to obtain forecasts on different datasets without training. We will use the open-source Darts library to do all this with in a few lines of code. A self-contained notebook containing everything needed to reproduce the results is available here.

Time series forecasting has numerous applications in supply chain, energy, agriculture, control, IT operations, finance and other domains. For a long time, the best-performing approaches were relatively sophisticated statistical methods such as Exponential Smoothing or ARIMA. However, since recently, machine learning and deep learning have started to outperform these classical approaches on a number of forecasting tasks and competitions.

One of the distinctive features of machine learning models is that their parameters can be estimated on a potentially large number of series; unlike classical methods, which are usually estimated on a single series at a time. Although machine learning shows great potential, its utilisation still poses a few practical challenges.  Read More