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Generating multivariate time series is a promising approach for sharing sensitive data in many medical, financial, and IoT applications. A common type of multivariate time series originates from a single source such as the biometric measurements from a medical patient. This leads to complex dynamical patterns between individual time series that are hard to learn by typical generation models such as GANs. There is valuable information in those patterns that machine learning models can use to better classify, predict or perform other downstream tasks. We propose a novel framework that takes time series' common origin into account and favors inter-channel relationship preservation. The two key points of our method are: 1) the individual time series are generated from a common point in latent space and 2) a central discriminator favors the preservation of inter-channel dynamics. We demonstrate empirically that our method helps preserve channel correlations and that our synthetic data performs very well downstream tasks with medical and financial data.
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