PSA-GAN: Progressive Self Attention GANs for Synthetic Time Series

Jeha Paul, Bohlke-Schneider Michael, Mercado Pedro, Singh Nirwan Rajbir, Kapoor Shubham, Flunkert Valentin, Gasthaus Jan, Januschowski Tim

Realistic synthetic time series data of sufficient length enables practical applications in time series modeling tasks, such as forecasting, but remains a challenge. In this paper we present PSA-GAN, a generative adversarial network (GAN) that generates long time series samples of high quality using progressive growing of GANs and self-attention. We show that PSA-GAN can be used to reduce the error in two downstream forecasting tasks over baselines that only use real data. We also introduce a Frechet-Inception Distance-like score, Context-FID, assessing the quality of synthetic time series samples. In our downstream tasks, we find that the lowest scoring models correspond to the best-performing ones. Therefore, Context-FID could be a useful tool to develop time series GAN models.

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