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From Observations to States: Latent Time Series Forecasting

Deep learning has achieved strong performance in Time Series Forecasting (TSF). However, we identify a critical representation paradox, termed Latent Chaos: models with accurate predictions often learn latent representations that are temporally disordered and lack continuity. We attribute this to the dominant observation-space forecasting paradigm, where minimizing point-wise errors on noisy and partially observed data encourages shortcut solutions instead of the recovery of underlying system dynamics. To address this, we propose Latent Time Series Forecasting (LatentTSF), a paradigm that shifts TSF from observation regression to latent state prediction. LatentTSF employs an AutoEncoder to project each observation into a learned latent state space and performs forecasting entirely in this space, allowing the model to focus on learning structured temporal dynamics. We provide an information-theoretic analysis showing that the latent objectives can be motivated as surrogates for maximizing mutual information between predicted and ground-truth latent states and future observations. Extensive experiments on widely-used benchmarks confirm that LatentTSF effectively mitigates latent chaos, yielding consistent improvements in both forecasting accuracy and representation quality. Our code is available at https://github.com/Muyiiiii/LatentTSF.

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