The research in this space is very conflicting about what methods actually work. In the graph on the page, the ETS model (basically just a weighted moving average) outperforms multiple, recent deep learning models. But the papers for those models claim they outperform ETS and other basic methods by quite a bit.
You can find recent papers from researchers about how their new transformers model is the best and SOTA, papers which claim transformers is garbage for time series and claim their own MLP variant is SOTA, other papers which claim deep learning in general underperforms compared to xgboost/lightgbm, etc.
Realistically I think time series is incredibly diverse, and results are going to be highly dependent on which dataset was cherry-picked for benchmarking. IMO this is why the idea of a time series foundation model is fundamentally flawed - transfer learning is the reason why foundation models work in language models, but most time series are overwhelmingly noise and don't provide enough context to figure out what information is actually transferrable between different time series.
You can find recent papers from researchers about how their new transformers model is the best and SOTA, papers which claim transformers is garbage for time series and claim their own MLP variant is SOTA, other papers which claim deep learning in general underperforms compared to xgboost/lightgbm, etc.
Realistically I think time series is incredibly diverse, and results are going to be highly dependent on which dataset was cherry-picked for benchmarking. IMO this is why the idea of a time series foundation model is fundamentally flawed - transfer learning is the reason why foundation models work in language models, but most time series are overwhelmingly noise and don't provide enough context to figure out what information is actually transferrable between different time series.