[BUG] Chronos predictions are offset by a constant value if time series has a high mean value about autogluon

[shchur]

Hi @gmanlan, thank you for the detailed description of the issue! This problem looks quite similar to Figure 16b in the Chronos paper, so I suspect that this might be a limitation that is specific to the Chronos model and the scaling/quantization scheme that it uses.

One potential option to address it is to center the time series by subtracting the mean/median value for each time series, and then adding it back to the forecasts.

This is something that we will try to fix in the next version of Chronos, or at least handle automatically on the AutoGluon side in the v1.2 release.

[gmanlan]

Hi @shchur, thanks for the clarification. I thought about using the post-processing center fix correction you suggest, but I'm afraid it won't be precise/ideal (especially if the goal is to predict just a few - short term - steps). Thus, I wanted to make sure I wasn't missing something here. Happy to resume testing when a new version is released. Thanks!

[gmanlan]

It's also worth noticing that, as I mentioned in the description, the same issue happens with other models like RecursiveTabular. For example:

predictor = TimeSeriesPredictor(prediction_length=prediction_length).fit(
    train_data,
    hyperparameters={
        "RecursiveTabular": {}
    }
)

While the gap is less notorious here, it's still annoying that it doesn't align/start at the right "altitude".