A gradual coarse-to-fine framework for irregularly sampled multivariate time series analysis

Irregularly sampled multivariate time series (ISMTS) are prevalent in reality. Most existing methods treat ISMTS as synchronized regularly sampled time series with missing values, neglecting that the irregularities are primarily attributed to variations in sampling rates. In this paper, we introduce a novel perspective that irregularity is essentially relative in some sense. With sampling rates artificially determined from low to high, an irregularly sampled time series can be transformed into a hierarchical set of relatively regular time series from coarse to fine. We observe that additional coarse-grained, relatively regular time series not only mitigate the irregularly sampled challenges but also incorporate broad-view temporal information, thereby serving as a valuable asset for representation learning. Therefore, following the philosophy of learning that sees the big picture first, then delving into the details, we present the multi-scale and multi-correlation attention network (MuSiCNet), combining multiple scales to iteratively refine the ISMTS representation. Specifically, within each scale, we explore time attention and frequency correlation matrices to aggregate intra- and inter-series information, naturally enhancing the representation quality with richer and more intrinsic details. Across adjacent scales, we employ a representation rectification method containing contrastive learning and reconstruction results adjustment to further improve representation consistency. Experimental results demonstrate that MuSiCNet consistently achieves competitive performance with state-of-the-art methods across four key ISMTS tasks: classification, interpolation, forecasting, and anomaly detection.