TIMED通过扩散+自回归+对抗反馈,生成更真实的时间序列数据。
TIMED: Adversarial and Autoregressive Refinement of Diffusion-Based Time Series Generation
- 用扩散模型捕捉全局结构,自回归网络学习时序依赖,对抗器保证平滑性。
- 在多变量时间序列上生成结果更逼真、时序更连贯,优于现有方法。
- 适合数据稀缺场景下的合成数据生成,如异常检测与预测任务。
生成高质量合成时间序列是预测与异常检测等领域的基础挑战,因真实数据常稀缺、噪声大或采集成本高。与静态数据生成不同,时间序列生成需同时建模观测的边际分布和条件时序依赖关系。本文提出TIMED,一个统一生成框架:利用去噪扩散概率模型(DDPM)通过前向-反向扩散过程捕捉全局结构;设计教师强制训练的监督网络,通过下一步预测学习自回归依赖;引入Wasserstein判别器提供对抗反馈,确保时序平滑与保真度;并加入最大均值差异(MMD)损失,促进特征空间中真实与合成分布对齐,提升样本多样性和质量。所有模块均采用掩码注意力架构,专为序列建模优化,联合训练以有效捕获时间序列的无条件与条件特性。在多个多元时间序列基准测试中,TIMED生成的序列比当前最优生成模型更真实、时序更一致。
原文摘要 · Abstract (English)
Generating high-quality synthetic time series is a fundamental yet challenging task across domains such as forecasting and anomaly detection, where real data can be scarce, noisy, or costly to collect. Unlike static data generation, synthesizing time series requires modeling both the marginal distribution of observations and the conditional temporal dependencies that govern sequential dynamics. We propose TIMED, a unified generative framework that integrates a denoising diffusion probabilistic model (DDPM) to capture global structure via a forward-reverse diffusion process, a supervisor network trained with teacher forcing to learn autoregressive dependencies through next-step prediction, and a Wasserstein critic that provides adversarial feedback to ensure temporal smoothness and fidelity. To further align the real and synthetic distributions in feature space, TIMED incorporates a Maximum Mean Discrepancy (MMD) loss, promoting both diversity and sample quality. All components are built using masked attention architectures optimized for sequence modeling and are trained jointly to effectively capture both unconditional and conditional aspects of time series data. Experimental results across diverse multivariate time series benchmarks demonstrate that TIMED generates more realistic and temporally coherent sequences than state-of-the-art generative models.
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