TSInsight: A Local-Global Attribution Framework for Interpretability in Time Series Data

With the rise in the employment of deep learning methods in safety-critical scenarios, interpretability is more essential than ever before. Although many different directions regarding interpretability have been explored for visual modalities, time series data has been neglected, with only a handful of methods tested due to their poor intelligibility. We approach the problem of interpretability in a novel way by proposing TSInsight, where we attach an auto-encoder to the classifier with a sparsity-inducing norm on its output and fine-tune it based on the gradients from the classifier and a reconstruction penalty. TSInsight learns to preserve features that are important for prediction by the classifier and suppresses those that are irrelevant, i.e., serves as a feature attribution method to boost the interpretability. In contrast to most other attribution frameworks, TSInsight is capable of generating both instance-based and model-based explanations. We evaluated TSInsight along with nine other commonly used attribution methods on eight different time series datasets to validate its efficacy. The evaluation results show that TSInsight naturally achieves output space contraction; therefore, it is an effective tool for the interpretability of deep time series models.