Temporal Fusion Transformer for Multi-Horizon Probabilistic Forecasting of Weekly Retail Sales

-- Accurate multi - horizon retail forecasts are critical for inventory and promotions. We present a novel study of weekly Walmart sales (45 stores, 2010 - 2012) using a Temporal Fusion Transformer (TFT) that fuses static store identifiers with time - varying exoge nous signals (holidays, CPI, fuel price, temperature). The pipeline produces 1 - 5 - week - ahead probabilistic forecasts via QuantileLoss, yielding calibrated 90% prediction intervals and interpretability through variable - selection networks, static enr ichment, and temporal attention. On a fixed 2012 hold - out dataset, TFT achieves an RMSE of $ 57.9k USD per store - week and an R of 0.9875. Across 5 - fold chronological cross - validation, the averages are RMSE = $ 64.6k USD and R = 0.9844, outperforming XGB, CNN, LSTM, and CNN - LSTM baseline models .