Wave-Mask/Mix: Exploring Wavelet-Based Augmentations for Time Series Forecasting
This work addresses data scarcity in time series forecasting for fields like finance and healthcare, but it is incremental as it adapts wavelet transforms to an existing augmentation context.
This research tackled the problem of limited real-world data in time series forecasting by introducing two wavelet-based augmentation methods, WaveMask and WaveMix, which achieved competitive results compared to established baselines across various forecasting horizons.
Data augmentation is important for improving machine learning model performance when faced with limited real-world data. In time series forecasting (TSF), where accurate predictions are crucial in fields like finance, healthcare, and manufacturing, traditional augmentation methods for classification tasks are insufficient to maintain temporal coherence. This research introduces two augmentation approaches using the discrete wavelet transform (DWT) to adjust frequency elements while preserving temporal dependencies in time series data. Our methods, Wavelet Masking (WaveMask) and Wavelet Mixing (WaveMix), are evaluated against established baselines across various forecasting horizons. To the best of our knowledge, this is the first study to conduct extensive experiments on multivariate time series using Discrete Wavelet Transform as an augmentation technique. Experimental results demonstrate that our techniques achieve competitive results with previous methods. We also explore cold-start forecasting using downsampled training datasets, comparing outcomes to baseline methods.