DATSING: Data Augmented Time Series Forecasting with Adversarial Domain Adaptation

Due to the high temporal uncertainty and low signal-to-noise ratio, transfer learning for univariate time series forecasting remains a challenging task. In addition, data scarcity, which is commonly encountered in business forecasting, further limits the application of conventional transfer learning protocols. In this work, we have developed, DATSING, a transfer learning-based framework that effectively leverages cross-domain time series latent representations to augment target domain forecasting. In particular, we aim to transfer domain-invariant feature representations from a pre-trained stacked deep residual network to the target domains, so as to assist the prediction of each target time series. To effectively avoid noisy feature representations, we propose a two-phased framework which first clusters similar mixed domains time series data and then performs a fine-tuning procedure with domain adversarial regularization to achieve better out-of-sample generalization. Extensive experiments with real-world datasets have demonstrated that our method significantly improves the forecasting performance of the pre-trained model. DATSING has the unique potential to empower forecasting practitioners to unleash the power of cross-domain time series data.