A Time-Series Foundation Model by Universal Delay Embedding

Abstract: This study introduces Universal Delay Embedding (UDE), a pretrained foundation model designed to revolutionize time-series forecasting through principled integration of delay embedding representation and Koopman operator prediction. Leveraging Takens' embedding theorem, UDE as a dynamical representation of observed data constructs two-dimensional subspace patches from Hankel matrices, theoretically preserving dynamical and topological properties of underlying dynamical systems. Such patches are viewed as images, which can be efficiently processed by exploiting advanced deep learning technologies. Computationally, these patches further serve as tokens for learning a self-attention encoder, thus enabling accurate prediction of nonlinear time-series by a finite-dimensional Koopman operator in a linear manner in a latent space. Extensive evaluations across various benchmarks and real-world climate datasets demonstrate over 20% average reduction in mean squared error versus state-of-the-art foundation models, alongside superior generalization in fine-tuning scenarios. In particular, the learned dynamical representations and Koopman operator prediction forms from the patches exhibit exceptional interpretability, with consistent identification of topologically informative subspaces and robust encoding of domain-invariant dynamics, establishing UDE as a scalable, interpretable framework for universal time-series modeling and forecasting with broad scientific and industrial applicability.