Is time series forecasting possible with a transformer?
I'm unclear whether transformers are the best tool for time series forecasting. Transformers at the end of the day are just the latest in a series of sequence-to-sequence models with an encoder and decoder. This means that transformers change something to something else.
With time series you aren't changing something to something else, you're trying to find statistical patterns in variations across time e.g do these variations correlate with each other, do they follow trends, cycles, etc. Then you're trying to use these statistical patterns to forecast for future dates. Time series is a lot like regression in that sense, where transformers try to capture relationships between words, and not just in left to right direction (the positional encoding is just extra information for the network).