On one method of imputation missing values of a streaming time series in real time

M. L. Tsymbler ; V. A. Polonsky ; A. A. Yurtin

Vestnik Ûžno-Uralʹskogo gosudarstvennogo universiteta. Seriâ Vyčislitelʹnaâ matematika i informatika, Tome 10 (2021) no. 4, pp. 5-25

Résumé

The problem of the imputation of missing values in a streaming time series arises in a wide range of Industry 4.0 and Internet of Things applications. In the article, we propose a novel imputation method based on timeseries mining techniques and artificial neural networks. The method involves three steps of imputation: datapreprocessing, recognition, and reconstruction. Preprocessing is a one-time preparation of training data samples.Recognition and reconstruction are implemented through two neural networks trained on the samples above.Preprocessing supposes the discovery of a set of typical subsequences (snippets) in a pre-stored fragment of thestreaming time series without misses. Recognition is implemented through a Convolutional Neural Network, andits input is a vector of the elements preceding the current (missing) value. The Recognizer outputs the snippet thatthe input subsequence is most similar to. Reconstruction is implemented through a Recurrent Neural Network,and its input is a concatenation of the Recognizer's output and the vector of the elements preceding the missingvalue. The Reconstructor outputs the value to be imputed. The experimental results show high accuracy and theadvantage of the proposed method over analogs.

Détail

Keywords: time series, imputation of missing values, online mode, artificial neural networks, CNN, RNN, time series snippets.