Utilizing Image Transforms and Diffusion Models for Generative Modeling of Short and Long Time Series

Lately, there has been a surge in interest surrounding generative modeling of time series data. Most existing approaches are designed either to process short sequences or to handle long-range sequences. This dichotomy can be attributed to gradient issues with recurrent networks, computational costs associated with transformers, and limited expressiveness of state space models. Towards a unified generative model for varying-length time series, we propose in this work to transform sequences into images. By employing invertible transforms such as the delay embedding and the short-time Fourier transform, we unlock three main advantages: i) We can exploit advanced diffusion vision models; ii) We can remarkably process short-and long-range inputs within the same framework; and iii) We can harness recent and established tools proposed in the time series to image literature.