Taming the Recent-Data Bias: Towards Robust Time Series Forecasting with Global Context

Abstract

Time series forecasting plays a vital role in numerous domains. However, real-world time series are frequently contaminated by noise, missing values, and anomalies, posing significant challenges to reliable forecasting. In this work, we first systematically investigate a fundamental limitation prevalent in existing forecasting methods: an excessive reliance on the most recent observations---termed "recent-data bias". This bias renders forecasts highly vulnerable to perturbations in recent data, severely undermining prediction reliability. To address this issue, we propose TameR, a novel approach for robust time series forecasting that effectively mitigates recent-data bias via enhancing the utilization of global context. Specifically, it employs a basis-aligned randomized sampling strategy to reduce dependence on any specific recent data. Furthermore, TameR incorporates a learnable periodicity extraction module coupled with a two-stage learning protocol to robustly separate periodic patterns from the sampled residual components. Comprehensive experiments demonstrate that TameR significantly outperforms state-of-the-art methods in robustness against diverse perturbation scenarios, while achieving comparable accuracy on clean data.