Forecasting time-series data is useful in many fields, such as stock price predicting system, autonomous driving system, weather forecast, etc. Many existing forecasting models tend to work well when forecasting short-sequence time series. However, when working with long sequence time series, the performance suffers significantly. Recently, there has been more intense research in this direction, and Informer is currently the most efficient predicting model. Informer’s main drawback is that it does not allow for incremental learning. In this paper, we propose a Fast Informer called Finformer, which addresses the above bottleneck by reducing the training/predicting time of Informer. Finformer can efficiently compute the positional/temporal/value embedding and Query/Key/Value of the self-attention incrementally. Theoretically, Finformer can improve the speed of both training and predicting over the state-of-the-art model Informer. Extensive experiments show that Finformer is about 26% faster than Informer for both short and long sequence time series prediction. In addition, Finformer is about 20% faster than InTrans for the general Conv1d, which is one of our previous works and is the predecessor of Finformer.