Foundation Models for Time Series Analysis: A Tutorial and Survey

Time series analysis stands as a focal point within the data mining community, serving as a cornerstone for extracting valuable insights crucial to a myriad of real-world applications. Recent advancements in Foundation Models (FMs) have fundamentally reshaped the paradigm of model design for time series analysis, boosting various downstream tasks in practice. These innovative approaches often leverage pre-trained or fine-tuned FMs to harness generalized knowledge tailored specifically for time series analysis. In this survey, we aim to furnish a comprehensive and up-to-date overview of FMs for time series analysis. While prior surveys have predominantly focused on either the application or the pipeline aspects of FMs in time series analysis, they have often lacked an in-depth understanding of the underlying mechanisms that elucidate why and how FMs benefit time series analysis. To address this gap, our survey adopts a model-centric classification, delineating various pivotal elements of time-series FMs, including model architectures, pre-training techniques, adaptation methods, and data modalities. Overall, this survey serves to consolidate the latest advancements in FMs pertinent to time series analysis, accentuating their theoretical underpinnings, recent strides in development, and avenues for future research exploration.

$\textbf{S}^2$IP-LLM: Semantic Space Informed Prompt Learning with LLM for Time Series Forecasting

Recently, there has been a growing interest in leveraging pre-trained large language models (LLMs) for various time series applications. However, the semantic space of LLMs, established through the pre-training, is still underexplored and may help yield more distinctive and informative representations to facilitate time series forecasting. To this end, we propose Semantic Space Informed Prompt learning with LLM ($S^2$IP-LLM) to align the pre-trained semantic space with time series embeddings space and perform time series forecasting based on learned prompts from the joint space. We first design a tokenization module tailored for cross-modality alignment, which explicitly concatenates patches of decomposed time series components to create embeddings that effectively encode the temporal dynamics. Next, we leverage the pre-trained word token embeddings to derive semantic anchors and align selected anchors with time series embeddings by maximizing the cosine similarity in the joint space. This way, $S^2$IP-LLM can retrieve relevant semantic anchors as prompts to provide strong indicators (context) for time series that exhibit different temporal dynamics. With thorough empirical studies on multiple benchmark datasets, we demonstrate that the proposed $S^2$IP-LLM can achieve superior forecasting performance over state-of-the-art baselines. Furthermore, our ablation studies and visualizations verify the necessity of prompt learning informed by semantic space.

Structural Knowledge Informed Continual Multivariate Time Series Forecasting

Recent studies in multivariate time series (MTS) forecasting reveal that explicitly modeling the hidden dependencies among different time series can yield promising forecasting performance and reliable explanations. However, modeling variable dependencies remains underexplored when MTS is continuously accumulated under different regimes (stages). Due to the potential distribution and dependency disparities, the underlying model may encounter the catastrophic forgetting problem, i.e., it is challenging to memorize and infer different types of variable dependencies across different regimes while maintaining forecasting performance. To address this issue, we propose a novel Structural Knowledge Informed Continual Learning (SKI-CL) framework to perform MTS forecasting within a continual learning paradigm, which leverages structural knowledge to steer the forecasting model toward identifying and adapting to different regimes, and selects representative MTS samples from each regime for memory replay. Specifically, we develop a forecasting model based on graph structure learning, where a consistency regularization scheme is imposed between the learned variable dependencies and the structural knowledge while optimizing the forecasting objective over the MTS data. As such, MTS representations learned in each regime are associated with distinct structural knowledge, which helps the model memorize a variety of conceivable scenarios and results in accurate forecasts in the continual learning context. Meanwhile, we develop a representation-matching memory replay scheme that maximizes the temporal coverage of MTS data to efficiently preserve the underlying temporal dynamics and dependency structures of each regime. Thorough empirical studies on synthetic and real-world benchmarks validate SKI-CL's efficacy and advantages over the state-of-the-art for continual MTS forecasting tasks.

Empowering Time Series Analysis with Large Language Models: A Survey

Recently, remarkable progress has been made over large language models (LLMs), demonstrating their unprecedented capability in varieties of natural language tasks. However, completely training a large general-purpose model from the scratch is challenging for time series analysis, due to the large volumes and varieties of time series data, as well as the non-stationarity that leads to concept drift impeding continuous model adaptation and re-training. Recent advances have shown that pre-trained LLMs can be exploited to capture complex dependencies in time series data and facilitate various applications. In this survey, we provide a systematic overview of existing methods that leverage LLMs for time series analysis. Specifically, we first state the challenges and motivations of applying language models in the context of time series as well as brief preliminaries of LLMs. Next, we summarize the general pipeline for LLM-based time series analysis, categorize existing methods into different groups (i.e., direct query, tokenization, prompt design, fine-tune, and model integration), and highlight the key ideas within each group. We also discuss the applications of LLMs for both general and spatial-temporal time series data, tailored to specific domains. Finally, we thoroughly discuss future research opportunities to empower time series analysis with LLMs.

Federated Variational Learning for Anomaly Detection in Multivariate Time Series

Anomaly detection has been a challenging task given high-dimensional multivariate time series data generated by networked sensors and actuators in Cyber-Physical Systems (CPS). Besides the highly nonlinear, complex, and dynamic natures of such time series, the lack of labeled data impedes data exploitation in a supervised manner and thus prevents an accurate detection of abnormal phenomenons. On the other hand, the collected data at the edge of the network is often privacy sensitive and large in quantity, which may hinder the centralized training at the main server. To tackle these issues, we propose an unsupervised time series anomaly detection framework in a federated fashion to continuously monitor the behaviors of interconnected devices within a network and alerts for abnormal incidents so that countermeasures can be taken before undesired consequences occur. To be specific, we leave the training data distributed at the edge to learn a shared Variational Autoencoder (VAE) based on Convolutional Gated Recurrent Unit (ConvGRU) model, which jointly captures feature and temporal dependencies in the multivariate time series data for representation learning and downstream anomaly detection tasks. Experiments on three real-world networked sensor datasets illustrate the advantage of our approach over other state-of-the-art models. We also conduct extensive experiments to demonstrate the effectiveness of our detection framework under non-federated and federated settings in terms of overall performance and detection latency.

Learning to Detect: A Data-driven Approach for Network Intrusion Detection

With massive data being generated daily and the ever-increasing interconnectivity of the world's Internet infrastructures, a machine learning based intrusion detection system (IDS) has become a vital component to protect our economic and national security. In this paper, we perform a comprehensive study on NSL-KDD, a network traffic dataset, by visualizing patterns and employing different learning-based models to detect cyber attacks. Unlike previous shallow learning and deep learning models that use the single learning model approach for intrusion detection, we adopt a hierarchy strategy, in which the intrusion and normal behavior are classified firstly, and then the specific types of attacks are classified. We demonstrate the advantage of the unsupervised representation learning model in binary intrusion detection tasks. Besides, we alleviate the data imbalance problem with SVM-SMOTE oversampling technique in 4-class classification and further demonstrate the effectiveness and the drawback of the oversampling mechanism with a deep neural network as a base model.

Spatio-Temporal Data Mining for Aviation Delay Prediction

To accommodate the unprecedented increase of commercial airlines over the next ten years, the Next Generation Air Transportation System (NextGen) has been implemented in the USA that records large-scale Air Traffic Management (ATM) data to make air travel safer, more efficient, and more economical. A key role of collaborative decision making for air traffic scheduling and airspace resource management is the accurate prediction of flight delay. There has been a lot of attempts to apply data-driven methods such as machine learning to forecast flight delay situation using air traffic data of departures and arrivals. However, most of them omit en-route spatial information of airlines and temporal correlation between serial flights which results in inaccuracy prediction. In this paper, we present a novel aviation delay prediction system based on stacked Long Short-Term Memory (LSTM) networks for commercial flights. The system learns from historical trajectories from automatic dependent surveillance-broadcast (ADS-B) messages and uses the correlative geolocations to collect indispensable features such as climatic elements, air traffic, airspace, and human factors data along posterior routes. These features are integrated and then are fed into our proposed regression model. The latent spatio-temporal patterns of data are abstracted and learned in the LSTM architecture. Compared with previous schemes, our approach is demonstrated to be more robust and accurate for large hub airports.