Toward a Foundation Model for Time Series Data
Chin-Chia Michael Yeh Xin Dai Huiyuan Chen Yan Zheng Yujie Fan Audrey Der Vivian Lai Zhongfang Zhuang Junpeng Wang Liang Wang Wei Zhang
A foundation model is a machine learning model trained on a large and diverse
set of data, typically using self-supervised learning-based pre-training
techniques, that can be adapted to various downstream tasks. However, current
research on time series pre-training has mostly focused on models pre-trained
solely on data from a single domain, resulting in a lack of knowledge about
other types of time series. However, current research on time series
pre-training has predominantly focused on models trained exclusively on data
from a single domain. As a result, these models possess domain-specific
knowledge that may not be easily transferable to time series from other
domains. In this paper, we aim to develop an effective time series foundation
model by leveraging unlabeled samples from multiple domains. To achieve this,
we repurposed the publicly available UCR Archive and evaluated four existing
self-supervised learning-based pre-training methods, along with a novel method,
on the datasets. We tested these methods using four popular neural network
architectures for time series to understand how the pre-training methods
interact with different network designs. Our experimental results show that
pre-training improves downstream classification tasks by enhancing the
convergence of the fine-tuning process. Furthermore, we found that the proposed
pre-training method, when combined with the Transformer model, outperforms the
alternatives.