Deep Ensembles Meets Quantile Regression: Uncertainty-aware Imputation for Time Series

• URL: http://arxiv.org/abs/2312.01294v1
• Date: Sun, 3 Dec 2023 05:52:30 GMT
• Title: Deep Ensembles Meets Quantile Regression: Uncertainty-aware Imputation for Time Series
• Authors: Ying Liu, Peng Cui, Wenbo Hu, Richang Hong
• Abstract summary: Time series data often exhibit numerous missing values, which is the time series imputation task. Previous deep learning methods have been shown to be effective for time series imputation. We propose a non-generative time series imputation method that produces accurate imputations with inherent uncertainty.
• Score: 49.992908221544624
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Multivariate time series are everywhere. Nevertheless, real-world time series data often exhibit numerous missing values, which is the time series imputation task. Although previous deep learning methods have been shown to be effective for time series imputation, they are shown to produce overconfident imputations, which might be a potentially overlooked threat to the reliability of the intelligence system. Score-based diffusion method(i.e., CSDI) is effective for the time series imputation task but computationally expensive due to the nature of the generative diffusion model framework. In this paper, we propose a non-generative time series imputation method that produces accurate imputations with inherent uncertainty and meanwhile is computationally efficient. Specifically, we incorporate deep ensembles into quantile regression with a shared model backbone and a series of quantile discrimination functions.This framework combines the merits of accurate uncertainty estimation of deep ensembles and quantile regression and above all, the shared model backbone tremendously reduces most of the computation overhead of the multiple ensembles. We examine the performance of the proposed method on two real-world datasets: air quality and health-care datasets and conduct extensive experiments to show that our method excels at making deterministic and probabilistic predictions. Compared with the score-based diffusion method: CSDI, we can obtain comparable forecasting results and is better when more data is missing. Furthermore, as a non-generative model compared with CSDI, the proposed method consumes a much smaller computation overhead, yielding much faster training speed and fewer model parameters.

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