  Enhancing the expressive capacity of deep learning-based time series models
with self-supervised pre-training has become ever-increasingly prevalent in
time series classification. Even though numerous efforts have been devoted to
developing self-supervised models for time series data, we argue that the
current methods are not sufficient to learn optimal time series representations
due to solely unidirectional encoding over sparse point-wise input units. In
this work, we propose TimeMAE, a novel self-supervised paradigm for learning
transferrable time series representations based on transformer networks. The
distinct characteristics of the TimeMAE lie in processing each time series into
a sequence of non-overlapping sub-series via window-slicing partitioning,
followed by random masking strategies over the semantic units of localized
sub-series. Such a simple yet effective setting can help us achieve the goal of
killing three birds with one stone, i.e., (1) learning enriched contextual
representations of time series with a bidirectional encoding scheme; (2)
increasing the information density of basic semantic units; (3) efficiently
encoding representations of time series using transformer networks.
Nevertheless, it is a non-trivial to perform reconstructing task over such a
novel formulated modeling paradigm. To solve the discrepancy issue incurred by
newly injected masked embeddings, we design a decoupled autoencoder
architecture, which learns the representations of visible (unmasked) positions
and masked ones with two different encoder modules, respectively. Furthermore,
we construct two types of informative targets to accomplish the corresponding
pretext tasks. One is to create a tokenizer module that assigns a codeword to
each masked region, allowing the masked codeword classification (MCC) task to
be completed effectively...
