This paper explores how to customize time series classification (TSC) methods with the help of external data in a privacy-preserving federated learning (FL) scenario. To the best of our knowledge, we are the first to study on this essential topic. Achieving this goal requires us to seamlessly integrate the techniques from multiple fields including Data Mining, Machine Learning, and Security. In this paper, we systematically investigate existing TSC solutions for the centralized scenario and propose FedST, a novel FL-enabled TSC framework based on a shapelet transformation method. We recognize the federated shapelet search step as the kernel of FedST. Thus, we design a basic protocol for the FedST kernel that we prove to be secure and accurate. However, we identify that the basic protocol suffers from efficiency bottlenecks and the centralized acceleration techniques lose their efficacy due to the security issues. To speed up the federated protocol with security guarantee, we propose several optimizations tailored for the FL setting. Our theoretical analysis shows that the proposed methods are secure and more efficient. We conduct extensive experiments using both synthetic and real-world datasets. Empirical results show that our FedST solution is effective in terms of TSC accuracy, and the proposed optimizations can achieve three orders of magnitude of speedup.

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