MuSiCNet: A Gradual Coarse-to-Fine Framework for Irregularly Sampled Multivariate Time Series Analysis

TL;DR

MuSiCNet introduces a hierarchical multi-scale framework that transforms irregularly sampled multivariate time series into multiple relatively regular series, leveraging multi-scale attention and correlation to improve analysis tasks like classification, interpolation, and forecasting.

Contribution

The paper proposes MuSiCNet, a novel multi-scale attention network that effectively captures hierarchical temporal information for irregularly sampled multivariate time series analysis.

Findings

MuSiCNet outperforms state-of-the-art methods in classification, interpolation, and forecasting tasks.

Multi-scale and multi-correlation attention mechanisms enhance representation quality.

Hierarchical coarse-to-fine sampling improves handling of irregular sampling challenges.

Abstract

Irregularly sampled multivariate time series (ISMTS) are prevalent in reality. Most existing methods treat ISMTS as synchronized regularly sampled time series with missing values, neglecting that the irregularities are primarily attributed to variations in sampling rates. In this paper, we introduce a novel perspective that irregularity is essentially relative in some senses. With sampling rates artificially determined from low to high, an irregularly sampled time series can be transformed into a hierarchical set of relatively regular time series from coarse to fine. We observe that additional coarse-grained relatively regular series not only mitigate the irregularly sampled challenges to some extent but also incorporate broad-view temporal information, thereby serving as a valuable asset for representation learning. Therefore, following the philosophy of learning that Seeing the big picture first, then delving into the details, we present the Multi-Scale and Multi-Correlation Attention Network (MuSiCNet) combining multiple scales to iteratively refine the ISMTS representation. Specifically, within each scale, we explore time attention and frequency correlation matrices to aggregate intra- and inter-series information, naturally enhancing the representation quality with richer and more intrinsic details. While across adjacent scales, we employ a representation rectification method containing contrastive learning and reconstruction results adjustment to further improve representation consistency. MuSiCNet is an ISMTS analysis framework that competitive with SOTA in three mainstream tasks consistently, including classification, interpolation, and forecasting.