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[D] Transformers for time series data

I was wondering if anyone has experience using transformer architectures for time series forecasting? Did it work well or if it didn’t why not? In particular has anyone used Transformer-XL? Just intuitively I was thinking it could work well for handling really long term dependencies in time series data. However, I haven’t seen any recent research mentioning it being used outside of NLP.

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Toronto AI is a social and collaborative hub to unite AI innovators of Toronto and surrounding areas. We explore AI technologies in digital art and music, healthcare, marketing, fintech, vr, robotics and more. Toronto AI was founded by Dave MacDonald and Patrick O'Mara.