BayOTIDE: Bayesian Online Multivariate Time series Imputation with functional decomposition
This work addresses a critical issue for applications like traffic and energy monitoring where streaming data with irregularities require real-time imputation, though it is incremental as it builds on existing imputation and Bayesian methods.
The paper tackles the problem of imputing missing values in multivariate time series data that are irregularly sampled and noisy, proposing BayOTIDE, a Bayesian online method that uses functional decomposition and Gaussian processes, achieving competitive performance on synthetic and real-world datasets with uncertainty quantification and interpretability.
In real-world scenarios like traffic and energy, massive time-series data with missing values and noises are widely observed, even sampled irregularly. While many imputation methods have been proposed, most of them work with a local horizon, which means models are trained by splitting the long sequence into batches of fit-sized patches. This local horizon can make models ignore global trends or periodic patterns. More importantly, almost all methods assume the observations are sampled at regular time stamps, and fail to handle complex irregular sampled time series arising from different applications. Thirdly, most existing methods are learned in an offline manner. Thus, it is not suitable for many applications with fast-arriving streaming data. To overcome these limitations, we propose BayOTIDE: Bayesian Online Multivariate Time series Imputation with functional decomposition. We treat the multivariate time series as the weighted combination of groups of low-rank temporal factors with different patterns. We apply a group of Gaussian Processes (GPs) with different kernels as functional priors to fit the factors. For computational efficiency, we further convert the GPs into a state-space prior by constructing an equivalent stochastic differential equation (SDE), and developing a scalable algorithm for online inference. The proposed method can not only handle imputation over arbitrary time stamps, but also offer uncertainty quantification and interpretability for the downstream application. We evaluate our method on both synthetic and real-world datasets.We release the code at {https://github.com/xuangu-fang/BayOTIDE}