Machine Learning Based Approaches for Imputation in Time Series Data and their Impact on Forecasting

摘要

It is common for a time series dataset to have missing values, and it is necessary to fill these missing elements before fitting any model for forecasting or prediction. Time series imputation remains a challenging task due to the existence of non-linear dependencies between current and past values. Conventional methods, such as deletion of rows containing missing values or filling them with the last observed value, add bias to the data and are therefore inefficient. There are situations where data is missing at consecutive points or random points in the dataset, and one particular method may not work well for all cases. In this paper, nine commonly used models in the field of imputation, based on tools of statistics, machine learning, and deep learning, are compared. Results show that Linear Memory Vector Gated Recurrent Unit (LIME-GRU) outperforms the other tested models by having the least Mean Square Error (MSE) and Root Mean Squared Error (RMSE). A predictive model to gauge the impact of imputation on prediction is also used to validate the findings. The results of the prediction model illustrate that with LIME-GRU, there was a 39% improvement in Average Aggregated Measure (AAGM) when compared with mode imputation on a particular test case.