Time Series Forecasting with LLMs: Understanding and Enhancing Model Capabilities

LLMs have been applied in many fields with rapid development in recent years. As a classic machine learning task, time series forecasting has recently received a boost from LLMs. However, there is a research gap in the LLMs' preferences in this field. In this paper, by comparing LLMs with traditional models, many properties of LLMs in time series prediction are found. For example, our study shows that LLMs excel in predicting time series with clear patterns and trends but face challenges with datasets lacking periodicity. We explain our findings through designing prompts to require LLMs to tell the period of the datasets. In addition, the input strategy is investigated, and it is found that incorporating external knowledge and adopting natural language paraphrases positively affects the predictive performance of LLMs for time series. Overall, this study contributes to insight into the advantages and limitations of LLMs in time series forecasting under different conditions.