A Forecasting Odyssey: Charting the Billion-Scale Landscape of Time-Series Forecasting
Time series, defined as sequences of ordered observations, have become ubiquitous across domains such as nature, industry, healthcare, and social processes. Among the core tasks in this field, time-series forecasting—using historical patterns to predict future outcomes—has gained significant attention due to its broad practical impact. Accordingly, numerous forecasting methods and evaluation benchmarks have been developed to track and drive progress. Despite decades of advances, existing evaluation frameworks still exhibit critical limitations that hinder a comprehensive understanding of model efficacy: (i) many empirical studies rely on homogeneous or imbalanced datasets that lack sufficient diversity or quality assurance to evaluate forecasting methods across dynamic environments and domains; (ii) many benchmarks focus on only a limited subset of forecasting methodologies; and (iii) existing studies often provide limited statistical and taxonomy-specific analysis, leading to potentially superficial interpretations of model performance based on aggregated metrics. To address these limitations, we introduce TSB-FCST, a billion-scale time-series forecasting benchmark curated with rigorous data cleaning and quality assurance for comprehensive and reliable evaluation. TSB-FCST provides a standardized evaluation of 100 algorithms, ranging from classical statistical and machine learning methods to deep learning-based and recently emerged foundation models. Our extensive evaluation reveals: (i) although Foundation Models (FMs) demonstrate strong generalist capabilities, classical statistical and machine learning methods continue to excel in specific application domains, underscoring the importance of traditional baselines and taxonomy-specific evaluation; (ii) the effectiveness of Channel-Dependent (CD) versus Channel-Independent (CI) architectures is closely tied to dataset characteristics, highlighting the need for appropriate and diverse large-scale benchmarks to verify algorithmic progress; and (iii) forecasting difficulty is jointly shaped by horizon length and temporal data patterns, suggesting that evaluation should move beyond the excessive pursuit of long-horizon accuracy and explicitly account for data-driven challenges. Finally, we release all source code and datasets to support reproducible comparison studies. In summary, TSB-FCST offers a rigorous roadmap for understanding recent developments and advancing reliable time-series forecasting research.