Benchmarking Time Series Generation Methods for Privacy-Preserving Forecasting

Time series forecasting in privacy-sensitive domains often requires training models on released data rather than original observations. Synthetic time series generation has been developed primarily for data augmentation, where generated series supplement the original training set. How well these methods perform when fully replacing the original data - and how much privacy risk the released series carry - remains underexplored. We address this gap through a benchmark evaluating synthetic generation methods and noise-based anonymization baselines under a Train on Synthetic, Test on Real (TSTR) protocol. We jointly assess forecasting performance and distance-based empirical privacy risk across seven datasets, characterizing the trade-off between these objectives. We also introduce Grasynda-P, a privacy-motivated extension of the graph-based generator Grasynda, incorporating matrix ensembling and kernel density estimation. Our results show that: (1) no generation method fully substitutes for original training data; (2) noise-based anonymization yields the strongest privacy but the worst forecasting performance; (3) simple transformation-based generators outperform deep generative models for forecasting in this setting; and (4) Grasynda-P lies on the Pareto frontier, achieving competitive forecasting with stronger privacy separation than other generators. This benchmark establishes a reference point for evaluating and developing new privacy-aware synthetic time series generation methods.

Grasynda: Graph-based Synthetic Time Series Generation

Data augmentation is a crucial tool in time series forecasting, especially for deep learning architectures that require a large training sample size to generalize effectively. However, extensive datasets are not always available in real-world scenarios. Although many data augmentation methods exist, their limitations include the use of transformations that do not adequately preserve data properties. This paper introduces Grasynda, a novel graph-based approach for synthetic time series generation that: (1) converts univariate time series into a network structure using a graph representation, where each state is a node and each transition is represented as a directed edge; and (2) encodes their temporal dynamics in a transition probability matrix. We performed an extensive evaluation of Grasynda as a data augmentation method for time series forecasting. We use three neural network variations on six benchmark datasets. The results indicate that Grasynda consistently outperforms other time series data augmentation methods, including ones used in state-of-the-art time series foundation models. The method and all experiments are publicly available.