ROAR: Retrieval Opportunity-Aware Refinement for Zero-Shot Time Series Forecasting

Retrieval augmentation provides time series forecasters with historical continuations, yet even candidates that outperform the base forecast may fail to improve the final prediction. We propose ROAR, a Retrieval Opportunity-Aware Refinement framework for zero-shot time series forecasting. To better exploit these improvement opportunities, its training objective allocates additional emphasis across queries based on base-forecast difficulty and the relative improvement offered by retrieved candidates. Using this objective, ROAR first learns to aggregate aligned historical candidates and uses a learned gate to control their correction strength against a fixed base forecaster. It then jointly calibrates the forecasting module and gate to coordinate their contributions, while anchoring the combined prediction to the first-stage refined output. We derive exact decompositions of refinement gains and the opportunity-weighted training loss, and characterize additional gains from joint calibration under a local linearization. Experiments on seven benchmarks show that ROAR achieves the lowest average MSE among the compared methods. Further evaluations demonstrate average forecasting improvements across multiple backbone families and retrieval-augmented forecasters.