Deep Time Series Models: A Comprehensive Survey and Benchmark

• URL: http://arxiv.org/abs/2407.13278v1
• Date: Thu, 18 Jul 2024 08:31:55 GMT
• Title: Deep Time Series Models: A Comprehensive Survey and Benchmark
• Authors: Yuxuan Wang, Haixu Wu, Jiaxiang Dong, Yong Liu, Mingsheng Long, Jianmin Wang,
• Abstract summary: Time series data is of great significance in real-world scenarios. Recent years have witnessed remarkable breakthroughs in the time series community. We release Time Series Library (TSLib) as a fair benchmark of deep time series models for diverse analysis tasks.
• Score: 74.28364194333447
• License: http://creativecommons.org/licenses/by-nc-nd/4.0/
• Abstract: Time series, characterized by a sequence of data points arranged in a discrete-time order, are ubiquitous in real-world applications. Different from other modalities, time series present unique challenges due to their complex and dynamic nature, including the entanglement of nonlinear patterns and time-variant trends. Analyzing time series data is of great significance in real-world scenarios and has been widely studied over centuries. Recent years have witnessed remarkable breakthroughs in the time series community, with techniques shifting from traditional statistical methods to advanced deep learning models. In this paper, we delve into the design of deep time series models across various analysis tasks and review the existing literature from two perspectives: basic modules and model architectures. Further, we develop and release Time Series Library (TSLib) as a fair benchmark of deep time series models for diverse analysis tasks, which implements 24 mainstream models, covers 30 datasets from different domains, and supports five prevalent analysis tasks. Based on TSLib, we thoroughly evaluate 12 advanced deep time series models on different tasks. Empirical results indicate that models with specific structures are well-suited for distinct analytical tasks, which offers insights for research and adoption of deep time series models. Code is available at https://github.com/thuml/Time-Series-Library.

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