Qualitative and Quantitative Evaluation of Multivariate Time-Series Synthetic Data Generated Using MTS-TGAN: A Novel Approach

Abstract

To obtain high performance, generalization, and accuracy in machine learning applications, such as prediction or anomaly detection, large datasets are a necessary prerequisite. Moreover, the collection of data is time-consuming, difficult, and expensive for many imbalanced or small datasets. These challenges are evident in collecting data for financial and banking services, pharmaceuticals and healthcare, manufacturing and the automobile, robotics car, sensor time-series data, and many more. To overcome the challenges of data collection, researchers in many domains are becoming more and more interested in the development or generation of synthetic data. Generating synthetic time-series data is far more complicated and expensive than generating synthetic tabular data. The primary objective of the paper is to generate multivariate time-series data (for continuous and mixed parameters) that are comparable and evaluated with real multivariate time-series synthetic data. After being trained to produce such data, a novel GAN architecture named as MTS-TGAN is proposed and then assessed using both qualitative measures namely t-SNE, PCA, discriminative and predictive scores as well as quantitative measures, for which an RNN model is implemented, which calculates MAE and MSLE scores for three training phases; Train Real Test Real, Train Real Test Synthetic and Train Synthetic Test Real. The model is able to reduce the overall error up to 13% and 10% in predictive and discriminative scores, respectively. The research’s objectives are met, and the outcomes demonstrate that MTS-TGAN is able to pick up on the distribution and underlying knowledge included in the attributes of the real data and it can serve as a starting point for additional research in the respective area.

Keywords

• deep neural network
• multivariate time-series data
• generative adversarial network
• synthetic data generation