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TS-ICL: A Flexible Time-Indexed Foundation Model for Time Series via In-Context Learning

TS-ICL unifies time series forecasting and imputation via timestamp-aligned in-context regression, achieving state-of-the-art imputation and strong partially-observed forecasting results.

Etienne Le Naour, Tahar Nabil, Adrien Petralia

Published 2026Paris Poster Session 2 · Wed, Dec 9, 5:00 PM–7:00 PM local time · Paris Poster HallarXiv ↗OpenReview ↗

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Abstract

Foundation models mark a profound paradigm shift in time series modeling, with task-specific models being superseded by general-purpose zero-shot models. Yet, current approaches primarily focus on forecasting, while real-world time series are often irregularly and partially observed, requiring models that can jointly forecast, impute missing values, and handle degraded sampling conditions. To address these challenges, we introduce TS-ICL, a novel probabilistic In-Context Learning encoder--regressor Transformer that unifies forecasting and imputation. TS-ICL formulates time series tasks as timestamp-aligned regression and naturally incorporates covariates by training on synthetic dependency structures generated from a novel causal data prior. Empirically, TS-ICL achieves a new state-of-the-art in imputation, while remaining competitive with leading forecasting foundation models across both univariate and covariate-aware benchmarks. It shows particularly strong performance in forecasting with partially observed look-back windows.