AdaWaveNet: Adaptive Wavelet Network for Time Series Analysis

Time series data analysis is a critical component in various domains such as finance, healthcare, and meteorology. Despite the progress in deep learning for time series analysis, there remains a challenge in addressing the non-stationary nature of time series data. Most of the existing models, which are built on the assumption of constant statistical properties over time, often struggle to capture the temporal dynamics in realistic time series and result in bias and error in time series analysis. This paper introduces the Adaptive Wavelet Network (AdaWaveNet), a novel approach that employs Adaptive Wavelet Transformation for multiscale analysis of non-stationary time series data. AdaWaveNet designed a lifting scheme-based wavelet decomposition and construction mechanism for adaptive and learnable wavelet transforms, which offers enhanced flexibility and robustness in analysis. We conduct extensive experiments on 10 datasets across 3 different tasks, including forecasting, imputation, and a newly established super-resolution task. The evaluations demonstrate the effectiveness of AdaWaveNet over existing methods in all three tasks, which illustrates its potential in various real-world applications. The code implemented for the Ada WaveNet is available at https://github.com/comp-well-org/AdaWaveNet.