@inproceedings{yue2021ts,
author = {Yue, Zhihan and Wang, Yujing and Duan, Juanyong and Yang, Tianmeng and Huang, Congrui and Tong, Yunhai and Xu, Bixiong},
title = {TS2Vec: Towards Universal Representation of Time Series},
booktitle = {AAAI 2022},
year = {2021},
month = {September},
abstract = {This paper presents TS2Vec, a universal framework for learning representations of time series in an arbitrary semantic level. Unlike existing methods, TS2Vec performs contrastive learning in a hierarchical way over augmented context views, which enables a robust contextual representation for each timestamp. Furthermore, to obtain the representation of an arbitrary sub-sequence in the time series, we can apply a simple aggregation over the representations of corresponding timestamps. We conduct extensive experiments on time series classification tasks to evaluate the quality of time series representations. As a result, TS2Vec achieves significant improvement over existing SOTAs of unsupervised time series representation on 125 UCR datasets and 29 UEA datasets. The learned timestamp-level representations also achieve superior results in time series forecasting and anomaly detection tasks. A linear regression trained on top of the learned representations outperforms previous SOTAs of time series forecasting. Furthermore, we present a simple way to apply the learned representations for unsupervised anomaly detection, which establishes SOTA results in the literature. The source code is publicly available at this https URL.},
url = {http://approjects.co.za/?big=en-us/research/publication/ts2vec-towards-universal-representation-of-time-series/},
}