Time Series Continuous Modeling for Imputation and Forecasting with Implicit Neural Representations

• URL: http://arxiv.org/abs/2306.05880v5
• Date: Mon, 22 Apr 2024 13:10:58 GMT
• Title: Time Series Continuous Modeling for Imputation and Forecasting with Implicit Neural Representations
• Authors: Etienne Le Naour, Louis Serrano, Léon Migus, Yuan Yin, Ghislain Agoua, Nicolas Baskiotis, Patrick Gallinari, Vincent Guigue,
• Abstract summary: We introduce a novel modeling approach for time series imputation and forecasting, tailored to address the challenges often encountered in real-world data. Our method relies on a continuous-time-dependent model of the series' evolution dynamics. A modulation mechanism, driven by a meta-learning algorithm, allows adaptation to unseen samples and extrapolation beyond observed time-windows.
• Score: 15.797295258800638
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We introduce a novel modeling approach for time series imputation and forecasting, tailored to address the challenges often encountered in real-world data, such as irregular samples, missing data, or unaligned measurements from multiple sensors. Our method relies on a continuous-time-dependent model of the series' evolution dynamics. It leverages adaptations of conditional, implicit neural representations for sequential data. A modulation mechanism, driven by a meta-learning algorithm, allows adaptation to unseen samples and extrapolation beyond observed time-windows for long-term predictions. The model provides a highly flexible and unified framework for imputation and forecasting tasks across a wide range of challenging scenarios. It achieves state-of-the-art performance on classical benchmarks and outperforms alternative time-continuous models.

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