Leveraging Image-based Generative Adversarial Networks for Time Series Generation

Abstract

Generative models synthesize image data with great success regarding sampling quality, diversity and feature disentanglement. Generative models for time series lack these benefits due to a missing representation, which captures temporal dynamics and allows inversion for sampling. The paper proposes the intertemporal return plot (IRP) representation to facilitate the use of image-based generative adversarial networks for time series generation. The representation proves effective in capturing time series characteristics and, compared to alternative representations, benefits from invertibility and scale-invariance. Empirical benchmarks confirm these features and demonstrate that the IRP enables an off-the-shelf Wasserstein GAN with gradient penalty to sample realistic time series, which outperform a specialized RNN-based GAN, while simultaneously reducing model complexity.