Hi-Patch: Hierarchical Patch GNN for Irregular Multivariate Time Series

Abstract

Multi-scale information is crucial for multivariate time series modeling. However, most existing time series multi-scale analysis methods treat all variables in the same manner, making them unsuitable for Irregular Multivariate Time Series (IMTS), where variables have distinct origin scales/sampling rates. To fill this gap, we propose Hi-Patch, a hierarchical patch graph network. Hi-Patch encodes each observation as a node, represents and captures local temporal and inter-variable dependencies of densely sampled variables through an intra-patch graph layer, and obtains patch-level nodes through aggregation. These nodes are then updated and re-aggregated through a stack of inter-patch graph layers, where several scale-specific graph networks progressively extract more global temporal and inter-variable features of both sparsely and densely sampled variables under specific scales. The output of the last layer is fed into task-specific decoders to adapt to different downstream tasks. Experiments on 8 datasets demonstrate that Hi-Patch outperforms state-of-the-art models in IMTS forecasting and classification tasks.