Abstract

Since labeled samples are typically scarce in real-world scenarios, self-supervised representation learning in time series is critical. Existing approaches mainly employ the contrastive learning framework, which automatically learns to understand similar and dissimilar data pairs. However, they are constrained by the request for cumbersome sampling policies and prior knowledge of constructing pairs. Also, few works have focused on effectively modeling temporal-spectral correlations to improve the capacity of representations. In this paper, we propose the Cross Reconstruction Transformer (CRT) to solve the aforementioned issues. CRT achieves time series representation learning through a cross-domain dropping-reconstruction task. Specifically, we obtain the frequency domain of the time series via the Fast Fourier Transform and randomly drop certain patches in both time and frequency domains. Dropping is employed to maximally preserve the global context while masking leads to the distribution shift. Then a Transformer architecture is utilized to adequately discover the cross-domain correlations between temporal and spectral information through reconstructing data in both domains, whic