Self-Recover: Forecasting Block Maxima in Time Series from Predictors with Disparate Temporal Coverage Using Self-Supervised Learning

Galib, A. H.; McDonald, A.; Tan, P-N.; Luo, L.. 2023 Self-Recover: Forecasting Block Maxima in Time Series from Predictors with Disparate Temporal Coverage Using Self-Supervised Learning. Proceedings of the Thirty-Second International Joint Conference on Artificial Intelligence (IJCAI 2023). 3723-3731. 10.24963/ijcai.2023/414

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Abstract/Summary

Forecasting the block maxima of a future time window is a challenging task due to the difficulty in inferring the tail distribution of a target variable. As the historical observations alone may not be sufficient to train robust models to predict the block maxima, domain-driven process models are often available in many scientific domains to supplement the observation data and improve the forecast accuracy. Unfortunately, coupling the historical observations with process model outputs is a challenge due to their disparate temporal coverage. This paper presents Self-Recover, a deep learning framework to predict the block maxima of a time window by employing self-supervised learning to address the varying temporal data coverage problem. Specifically Self-Recover uses a combination of contrastive and generative self-supervised learning schemes along with a denoising autoencoder to impute the missing values. The framework also combines representations of the historical observations with process model outputs via a residual learning approach and learns the generalized extreme value (GEV) distribution characterizing the block maxima values. This enables the framework to reliably estimate the block maxima of each time window along with its confidence interval. Extensive experiments on real-world datasets demonstrate the superiority of Self-Recover compared to other state-of-the-art forecasting methods.

Item Type:	Publication - Article
Digital Object Identifier (DOI):	10.24963/ijcai.2023/414
Additional Keywords:	Machine Learning: Time series and data streams: Representation learning: Self-supervised Learning
Date made live:	18 Sep 2023 12:34 +0 (UTC)
URI:	https://nora.nerc.ac.uk/id/eprint/535838

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