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Real-world applications often involve irregular time series, for which the time intervals between successive observations are non-uniform. Irregularity across multiple features in a multi-variate time series further results in a different subset of features at any given time (i.e., asynchronicity). Existing pre-training schemes for time-series, however, often assume regularity of time series and make no special treatment of irregularity. We argue that such irregularity offers insight about domain property of the data—for example, frequency of hospital visits may signal patient health condition—that can guide representation learning. In this work, we propose PrimeNet to learn a self-supervised representation for irregular multivariate time-series. Specifically, we design a timesensitive contrastive learning and data reconstruction task to pre-train a model. Irregular time-series exhibits considerable variations in sampling density over time. Hence, our triplet generation strategy follows the density of the original data points, preserving its native irregularity. Moreover, the sampling density variation over time makes data reconstruction difficult for different regions. Therefore, we design a data masking technique that always masks a constant time duration to accommodate reconstruction for regions of different sampling density. We learn with these tasks using unlabeled data to build a pre-trained model and fine-tune on a downstream task with limited labeled data, in contrast with existing fully supervised approach for irregular time-series, requiring large amounts of labeled data. Experiment results show that PrimeNet significantly outperforms state-of-the-art methods on naturally irregular and asynchronous data from Healthcare and IoT applications for several downstream tasks, including classification, interpolation, and regression.
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Robust Multi-Variate Temporal Features of Multi-Variate Time Series
Many applications generate and/or consume multi-variate temporal data, and experts often lack the means to adequately and systematically search for and interpret multi-variate observations. In this article, we first observe that multi-variate time series often carry localized multi-variate temporal features that are robust against noise. We then argue that these multi-variate temporal features can be extracted by simultaneously considering, at multiple scales, temporal characteristics of the time seriesalong with external knowledge, including variate relationships that are known a priori. Relying on these observations, we develop data models and algorithms to detectrobust multi-variate temporal(RMT) features that can be indexed for efficient and accurate retrieval and can be used for supporting data exploration and analysis tasks. Experiments confirm that the proposed RMT algorithm is highly effective and efficient in identifyingrobustmulti-scale temporal features of multi-variate time series.
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- Award ID(s):
- 1633381
- PAR ID:
- 10482649
- Publisher / Repository:
- ACM
- Date Published:
- Journal Name:
- ACM Transactions on Multimedia Computing, Communications, and Applications
- Volume:
- 14
- Issue:
- 1
- ISSN:
- 1551-6857
- Page Range / eLocation ID:
- 1 to 24
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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- Free Publicly Accessible Full Text
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Accepted Manuscript1.0
- Journal Article:
- https://doi.org/10.1145/3152123
