Abstract
Recent progress in time-series forecasting has led to rapidly increasing architectural complexity, yet many reported State-of-the-Art gains are statistically fragile or misattributed. We argue that progress requires a shift from model selection to modular attribution, identifying which components truly drive performance. We propose CombinationTS, a self-contained probabilistic evaluation framework that decomposes forecasting models into orthogonal modules--Input Transformation, Embedding, Encoder, Decoder, and Output Transformation--and evaluates them under a shared evaluation condition space. By quantifying each component via marginalized performance (\mu) and stability (\sigma), CombinationTS enables robust attribution beyond fragile point estimates. Through large-scale paired evaluation, we uncover the Identity Paradox: once the data view (Embedding) is well-designed, a parameter-free Identity Encoder often matches or outperforms complex backbones. We further show that explicit structural priors introduced via Input Transformations yield a more favorable performance-stability trade-off than increasing Encoder complexity, establishing a principled baseline for architectural necessity.
