RISE and DISE: Two Frameworks for Learning from Time Series with Missing Data

Alberto Garcia-Duran, Robert West

Keywords: Time Series, Missing Data, RNN

TL;DR: Two frameworks for learning from time series with missing data: (1) RISE generalizes multiple previous imputation-based methods, (2) DISE avoids imputation by using time information in representation learning

Abstract: Time series with missing data constitute an important setting for machine learning. The most successful prior approaches for modeling such time series are based on recurrent neural networks that learn to impute unobserved values and then treat the imputed values as observed. We start by introducing Recursive Input and State Estimation (RISE), a general framework that encompasses such prior approaches as specific instances. Since RISE instances tend to suffer from poor long-term performance as errors are amplified in feedback loops, we propose Direct Input and State Estimation (DISE), a novel framework in which input and state representations are learned from observed data only. The key to DISE is to include time information in representation learning, which enables the direct modeling of arbitrary future time steps by effectively skipping over missing values, rather than imputing them, thus overcoming the error amplification encountered by RISE methods. We benchmark instances of both frameworks on two forecasting tasks, observing that DISE achieves state-of-the-art performance on both.