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Register a new userAdaptive Weighting Scheme for Automatic Time-Series Data Augmentation
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Data augmentation methods have been shown to be a fundamental technique to improve generalization in tasks such as image, text and audio classification. Recently, automated augmentation methods have led to further improvements on image classification and object detection leading to state-of-the-art performances. Nevertheless, little work has been done on time-series data, an area that could greatly benefit from automated data augmentation given the usually limited size of the datasets. We present two sample-adaptive automatic weighting schemes for data augmentation: the first learns to weight the contribution of the augmented samples to the loss, and the second method selects a subset of transformations based on the ranking of the predicted training loss. We validate our proposed methods on a large, noisy financial dataset and on time-series datasets from the UCR archive. On the financial dataset, we show that the methods in combination with a trading strategy lead to improvements in annualized returns of over 50$%$, and on the time-series data we outperform state-of-the-art models on over half of the datasets, and achieve similar performance in accuracy on the others.
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Deep learning performs remarkably well on many time series analysis tasks recently. The superior performance of deep neural networks relies heavily on a large number of training data to avoid overfitting. However, the labeled data of many real-world time series applications may be limited such as classification in medical time series and anomaly detection in AIOps. As an effective way to enhance the size and quality of the training data, data augmentation is crucial to the successful application of deep learning models on time series data. In this paper, we systematically review different data augmentation methods for time series. We propose a taxonomy for the reviewed methods, and then provide a structured review for these methods by highlighting their strengths and limitations. We also empirically compare different data augmentation methods for different tasks including time series anomaly detection, classification, and forecasting. Finally, we discuss and highlight five future directions to provide useful research guidance.
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The modeling of time series is becoming increasingly critical in a wide variety of applications. Overall, data evolves by following different patterns, which are generally caused by different user behaviors. Given a time series, we define the evolution gene to capture the latent user behaviors and to describe how the behaviors lead to the generation of time series. In particular, we propose a uniform framework that recognizes different evolution genes of segments by learning a classifier, and adopt an adversarial generator to implement the evolution gene by estimating the segments distribution. Experimental results based on a synthetic dataset and five real-world datasets show that our approach can not only achieve a good prediction results (e.g., averagely +10.56% in terms of F1), but is also able to provide explanations of the results.
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