ELATE: Evolutionary Language model for Automated Time-series Engineering

Abstract: Time-series prediction involves forecasting future values using machine learning models. Feature engineering, whereby existing features are transformed to make new ones, is critical for enhancing model performance, but is often manual and time-intensive. Existing automation attempts rely on exhaustive enumeration, which can be computationally costly and lacks domain-specific insights. We introduce ELATE (Evolutionary LLM for Automated Time-series Engineering), which leverages a LLM within an evolutionary framework to automate feature engineering for time-series data. ELATE employs time-series statistical measures and feature importance metrics to guide and prune features, while the LLM proposes new, contextually relevant feature transformations. Our experiments demonstrate that ELATE improves forecasting accuracy by an average of 8.4% across various domains.