Abstract
Deep learning methods are powerful tools in classifying multivariate time series data. Despite their high performance, these methods are hard to interpret, which diminishes their applications in high-risk domains such as healthcare. In this paper, we propose a novel multi-stage prototype learning framework for multivariate time series classification. By design, our framework identifies predictive temporal patterns in individual variables as well as cross-variable patterns that are highly predictive of each class. We validate our model on one simulated and four real-world datasets and demonstrate comparable accuracy to state-of-the-art methods while providing substantially improved interpretability through explicit, hierarchical prototype-based explanations. These explanations reveal both single-variable temporal patterns as well as cross-variable interactions that are most predictive for each class, providing insights into underlying mechanisms of the predictive model.