Masking the Gaps: An Imputation-Free Approach to Time Series Modeling with Missing Data

• URL: http://arxiv.org/abs/2502.15785v1
• Date: Tue, 18 Feb 2025 01:42:26 GMT
• Title: Masking the Gaps: An Imputation-Free Approach to Time Series Modeling with Missing Data
• Authors: Abhilash Neog, Arka Daw, Sepideh Fatemi Khorasgani, Anuj Karpatne,
• Abstract summary: We propose a novel imputation-free approach for handling missing values in time series called Missing Feature-aware Time Series Modeling (MissTSM)<n>First, we develop a novel embedding scheme that treats every combination of time-step and feature (or channel) as a distinct token. Second, we introduce a novel Missing Feature-Aware Attention (MFAA) Layer to learn latent representations at every time-step based on partially observed features.
• Score: 4.976006205643832
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: A significant challenge in time-series (TS) modeling is the presence of missing values in real-world TS datasets. Traditional two-stage frameworks, involving imputation followed by modeling, suffer from two key drawbacks: (1) the propagation of imputation errors into subsequent TS modeling, (2) the trade-offs between imputation efficacy and imputation complexity. While one-stage approaches attempt to address these limitations, they often struggle with scalability or fully leveraging partially observed features. To this end, we propose a novel imputation-free approach for handling missing values in time series termed Missing Feature-aware Time Series Modeling (MissTSM) with two main innovations. First, we develop a novel embedding scheme that treats every combination of time-step and feature (or channel) as a distinct token. Second, we introduce a novel Missing Feature-Aware Attention (MFAA) Layer to learn latent representations at every time-step based on partially observed features. We evaluate the effectiveness of MissTSM in handling missing values over multiple benchmark datasets.

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