Continuous-time Autoencoders for Regular and Irregular Time Series Imputation
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
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2023
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| _version_ | 1866911930173620224 |
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| author | Wi, Hyowon Shin, Yehjin Park, Noseong |
| author_facet | Wi, Hyowon Shin, Yehjin Park, Noseong |
| contents | Time series imputation is one of the most fundamental tasks for time series. Real-world time series datasets are frequently incomplete (or irregular with missing observations), in which case imputation is strongly required. Many different time series imputation methods have been proposed. Recent self-attention-based methods show the state-of-the-art imputation performance. However, it has been overlooked for a long time to design an imputation method based on continuous-time recurrent neural networks (RNNs), i.e., neural controlled differential equations (NCDEs). To this end, we redesign time series (variational) autoencoders based on NCDEs. Our method, called continuous-time autoencoder (CTA), encodes an input time series sample into a continuous hidden path (rather than a hidden vector) and decodes it to reconstruct and impute the input. In our experiments with 4 datasets and 19 baselines, our method shows the best imputation performance in almost all cases. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2312_16581 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Continuous-time Autoencoders for Regular and Irregular Time Series Imputation Wi, Hyowon Shin, Yehjin Park, Noseong Machine Learning Information Retrieval Time series imputation is one of the most fundamental tasks for time series. Real-world time series datasets are frequently incomplete (or irregular with missing observations), in which case imputation is strongly required. Many different time series imputation methods have been proposed. Recent self-attention-based methods show the state-of-the-art imputation performance. However, it has been overlooked for a long time to design an imputation method based on continuous-time recurrent neural networks (RNNs), i.e., neural controlled differential equations (NCDEs). To this end, we redesign time series (variational) autoencoders based on NCDEs. Our method, called continuous-time autoencoder (CTA), encodes an input time series sample into a continuous hidden path (rather than a hidden vector) and decodes it to reconstruct and impute the input. In our experiments with 4 datasets and 19 baselines, our method shows the best imputation performance in almost all cases. |
| title | Continuous-time Autoencoders for Regular and Irregular Time Series Imputation |
| topic | Machine Learning Information Retrieval |
| url | https://arxiv.org/abs/2312.16581 |