TriD-MAE: A Generic Pre-trained Model for Multivariate Time Series with Missing Values

Abstract

Multivariate time series(MTS) is a universal data type related to various real-world applications. Data imputation methods are widely used in MTS applications to deal with the frequent data missing problem. However, these methods inevitably introduce biased imputation and training-redundancy problems in downstream training. To address these challenges, we propose TriD-MAE, a generic pre-trained model for MTS data with missing values. Firstly, we introduce TriD-TCN, an end-to-end module based on TCN that effectively extracts temporal features by integrating dynamic kernel mechanisms and a time-flipping trick. Building upon that, we designed an MAE-based pre-trained model as the precursor of specialized downstream models. Our model cooperates with a dynamic positional embedding mechanism to represent the missing information and generate transferable representation through our proposed encoder units. The overall mixed data feed-in strategy and weighted loss function are established to ensure adequate training of the whole model. Comparative experiment results in time series prediction and classification manifest that our TriD-MAE model outperforms the other state-of-the-art methods within six real-world datasets. Moreover, ablation and interpretability experiments are delivered to verify the validity of TriD-MAE's substructures.