A Multi-Scale Decomposition MLP-Mixer for Time Series Analysis

Time series data, often characterized by unique composition and complex multi-scale temporal variations, requires special consideration of decomposition and multi-scale modeling in its analysis. Existing deep learning methods on this best fit to only univariate time series, and have not sufficiently accounted for sub-series level modeling and decomposition completeness. To address this, we propose MSD-Mixer, a Multi-Scale Decomposition MLP-Mixer which learns to explicitly decompose the input time series into different components, and represents the components in different layers. To handle multi-scale temporal patterns and inter-channel dependencies, we propose a novel temporal patching approach to model the time series as multi-scale sub-series, i.e., patches, and employ MLPs to mix intra- and inter-patch variations and channel-wise correlations. In addition, we propose a loss function to constrain both the magnitude and autocorrelation of the decomposition residual for decomposition completeness. Through extensive experiments on various real-world datasets for five common time series analysis tasks (long- and short-term forecasting, imputation, anomaly detection, and classification), we demonstrate that MSD-Mixer consistently achieves significantly better performance in comparison with other state-of-the-art task-general and task-specific approaches.