Title
Multivariate Time Series Imputation: An Approach Based on Dictionary Learning
Abstract
The problem addressed by dictionary learning (DL) is the representation of data as a sparse linear combination of columns of a matrix called dictionary. Both the dictionary and the sparse representations are learned from the data. We show how DL can be employed in the imputation of multivariate time series. We use a structured dictionary, which is comprised of one block for each time series and a common block for all the time series. The size of each block and the sparsity level of the representation are selected by using information theoretic criteria. The objective function used in learning is designed to minimize either the sum of the squared errors or the sum of the magnitudes of the errors. We propose dimensionality reduction techniques for the case of high-dimensional time series. For demonstrating how the new algorithms can be used in practical applications, we conduct a large set of experiments on five real-life data sets. The missing data (MD) are simulated according to various scenarios where both the percentage of MD and the length of the sequences of MD are considered. This allows us to identify the situations in which the novel DL-based methods are superior to the existing methods.
Year
DOI
Venue
2022
10.3390/e24081057
ENTROPY
Keywords
DocType
Volume
multivariate time series, missing data, imputation, dictionary learning, information theoretic criteria
Journal
24
Issue
ISSN
Citations 
8
1099-4300
0
PageRank 
References 
Authors
0.34
0
4
Name
Order
Citations
PageRank
Xiaomeng Zheng100.34
Bogdan Dumitrescu200.68
Jiamou Liu34923.19
Ciprian Doru Giurcaneanu44312.44