Multivariate Time Series Missing Data Imputation Using Recurrent Denoising Autoencoder

Abstract

This paper presents a novel method for imputing missing data of multivariate time series by adapting the Long Short Term-Memory(LSTM) and Denoising Autoencoder(DAE). Missing data are ubiquitous in many domains; proper imputation methods can improve performance on many tasks. Our method focus on multivariate time series, applying bidirectional LSTM to learn temporal information and DAE to learn correlation between variables, and we combine these two models by using LSTM as the encoder component of DAE. Several real-world datasets, including electroencephalogram(EEG), electromyogram(EMG) and electronic health records(EHRs), are extracted to test the performance of our method. Through simulation studies, we compare the proposed recurrent denoising autoencoder with several baseline imputation methods and demonstrate its effectiveness in both missing data estimation and label prediction after imputation.