Mixed time series (MiTS) comprising both continuous variables (CVs) and discrete variables (DVs) are frequently encountered yet under-explored in time series analysis.

Empirically, MiTSformer achieves consistent SOTAonfivemixedtime series analysis tasks, including classification, extrinsic regression,anomalydetection,imputation,andlong-termforecasting.

Mixed time series (MiTS) comprising both continuous variables (CVs) and discrete variables (DVs) are frequently encountered yet under-explored in time series analysis. Overlooking these heterogeneities would lead to insufficient and imbalanced representation learning, bringing biased results. This paper addresses the problem with two insights: 1) DVs may originate from intrinsic latent continuous variables (LCVs), which lose fine-grained information due to extrinsic discretization; 2) LCVs and CVs share similar temporal patterns and interact spatially. Considering these similarities and interactions, we propose a general MiTS analysis framework MiTSformer, which recovers LCVs behind DVs for sufficient and balanced spatial-temporal modeling by designing two essential inductive biases: 1) hierarchically aggregating multi-scale temporal context information to enrich the information granularity of DVs; 2) adaptively learning the aggregation processes via the adversarial guidance from CVs. Subsequently, MiTSformer captures complete spatial-temporal dependencies within and across LCVs and CVs via cascaded self- and cross-attention blocks.