Evaluation is key: a survey on evaluation measures for synthetic time series

Synthetic data generation describes the process of learning the underlying distribution of a given real dataset in a model, which is, in turn, sampled to produce new data objects still adhering to the original distribution. This approach often finds application where circumstances limit the availability or usability of real-world datasets, for instance, in health care due to privacy concerns. While image synthesis has received much attention in the past, time series are key for many practical (e.g., industrial) applications. To date, numerous different generative models and measures to evaluate time series syntheses have been proposed. However, regarding the defining features of high-quality synthetic time series and how to quantify quality, no consensus has yet been reached among researchers. Hence, we propose a comprehensive survey on evaluation measures for time series generation to assist users in evaluating synthetic time series. For one, we provide brief descriptions or - where applicable - precise definitions. Further, we order the measures in a taxonomy and examine applicability and usage. To assist in the selection of the most appropriate measures, we provide a concise guide for fast lookup. Notably, our findings reveal a lack of a universally accepted approach for an evaluation procedure, including the selection of appropriate measures. We believe this situation hinders progress and may even erode evaluation standards to a “do as you like”-approach to synthetic data evaluation. Therefore, this survey is a preliminary step to advance the field of synthetic data evaluation.