Diffusion Models for Time Series Forecasting: A Survey

Abstract: Diffusion models, initially developed for image synthesis, demonstrate remarkable generative capabilities. Recently, their application has expanded to time series forecasting (TSF), yielding promising results. In this survey, we firstly introduce the standard diffusion models and their prevalent variants, explaining their adaptation to TSF tasks. We then provide a comprehensive review of diffusion models for TSF, paying special attention to the sources of conditional information and the mechanisms for integrating this conditioning within the models. In analyzing existing approaches using diffusion models for TSF, we provide a systematic categorization and a comprehensive summary of them in this survey. Furthermore, we examine several foundational diffusion models applied to TSF, alongside commonly used datasets and evaluation metrics. Finally, we discuss current limitations in these approaches and potential future research directions. Overall, this survey details recent progress and future prospects for diffusion models in TSF, serving as a reference for researchers in the field.