SimMTM: A Simple Pre-Training Framework for Masked Time-Series Modeling

• URL: http://arxiv.org/abs/2302.00861v4
• Date: Mon, 23 Oct 2023 13:02:38 GMT
• Title: SimMTM: A Simple Pre-Training Framework for Masked Time-Series Modeling
• Authors: Jiaxiang Dong, Haixu Wu, Haoran Zhang, Li Zhang, Jianmin Wang, Mingsheng Long
• Abstract summary: SimMTM is a simple pre-training framework for Masked Time-series Modeling. SimMTM recovers masked time points by the weighted aggregation of multiple neighbors outside the manifold. SimMTM achieves state-of-the-art fine-tuning performance compared to the most advanced time series pre-training methods.
• Score: 82.69579113377192
• License: http://creativecommons.org/licenses/by-nc-nd/4.0/
• Abstract: Time series analysis is widely used in extensive areas. Recently, to reduce labeling expenses and benefit various tasks, self-supervised pre-training has attracted immense interest. One mainstream paradigm is masked modeling, which successfully pre-trains deep models by learning to reconstruct the masked content based on the unmasked part. However, since the semantic information of time series is mainly contained in temporal variations, the standard way of randomly masking a portion of time points will seriously ruin vital temporal variations of time series, making the reconstruction task too difficult to guide representation learning. We thus present SimMTM, a Simple pre-training framework for Masked Time-series Modeling. By relating masked modeling to manifold learning, SimMTM proposes to recover masked time points by the weighted aggregation of multiple neighbors outside the manifold, which eases the reconstruction task by assembling ruined but complementary temporal variations from multiple masked series. SimMTM further learns to uncover the local structure of the manifold, which is helpful for masked modeling. Experimentally, SimMTM achieves state-of-the-art fine-tuning performance compared to the most advanced time series pre-training methods in two canonical time series analysis tasks: forecasting and classification, covering both in- and cross-domain settings.

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