Revisiting Multivariate Time Series Forecasting with Missing Values

ICLR 2026 Conference Submission383 Authors

Keywords: Time Series Forecasting with Missing Values

TL;DR: An IB-based direct predicting method for multivariate time series forecasting with missing values

Abstract:

Missing values are common in real-world time series, and multivariate time series forecasting with missing values (MTSF-M) has become a crucial area of research for ensuring reliable predictions. To address the challenge of missing data, current approaches have developed an imputation-then-prediction framework that uses imputation modules to fill in missing values, followed by forecasting on the imputed data. However, this framework overlooks a critical issue: there is no ground truth for the missing values, making the imputation process susceptible to errors that can degrade prediction accuracy.
In this paper, we conduct a systematic empirical study and reveal that imputation without direct supervision can corrupt the underlying data distribution and actively degrade prediction accuracy. To address this, we propose a paradigm shift that moves away from imputation and directly predicts from the partially observed time series. We introduce **C**onsistency-**R**egularized **I**nformation **B**ottleneck (CRIB), a novel framework built on the Information Bottleneck principle. CRIB combines a unified-variate attention mechanism with a consistency regularization scheme to learn robust representations that filter out noise introduced by missing values while preserving essential predictive signals. Comprehensive experiments on four real-world datasets demonstrate the effectiveness of CRIB, which predicts accurately even under high missing rates. Our code is available in [https://anonymous.4open.science/r/CRIB-F660](https://anonymous.4open.science/r/CRIB-F660).

Primary Area: learning on time series and dynamical systems

Submission Number: 383