  Among recent developments in time series forecasting methods, deep
forecasting models have gained popularity as they can utilize hidden feature
patterns in time series to improve forecasting performance. Nevertheless, the
majority of current deep forecasting models are opaque, hence making it
challenging to interpret the results. While counterfactual explanations have
been extensively employed as a post-hoc approach for explaining classification
models, their application to forecasting models still remains underexplored. In
this paper, we formulate the novel problem of counterfactual generation for
time series forecasting, and propose an algorithm, called ForecastCF, that
solves the problem by applying gradient-based perturbations to the original
time series. ForecastCF guides the perturbations by applying constraints to the
forecasted values to obtain desired prediction outcomes. We experimentally
evaluate ForecastCF using four state-of-the-art deep model architectures and
compare to two baselines. Our results show that ForecastCF outperforms the
baseline in terms of counterfactual validity and data manifold closeness.
Overall, our findings suggest that ForecastCF can generate meaningful and
relevant counterfactual explanations for various forecasting tasks.
