ImputeGAN: Generative Adversarial Network for Multivariate Time Series Imputation

Abstract

Since missing values in multivariate time series data are inevitable, many researchers have come up with methods to deal with the missing data. These include case deletion methods, statistics-based imputation methods, and machine learning-based imputation methods. However, these methods cannot handle temporal information, or the complementation results are unstable. We propose a model based on generative adversarial networks (GANs) and an iterative strategy based on the gradient of the complementary results to solve these problems. This ensures the generalizability of the model and the reasonableness of the complementation results. We conducted experiments on three large-scale datasets and compare them with traditional complementation methods. The experimental results show that imputeGAN outperforms traditional complementation methods in terms of accuracy of complementation.