Improving Irregularly Sampled Time Series Learning with Dense Descriptors of Time

Rafael Teixeira Sousa, Lucas Araújo Pereira, Anderson da Silva Soares

Keywords: irregularly sampled, time series, embeddings

TL;DR: A novel method to create dense descriptors of time (Time Embeddings) to make simple models understand temporal structures

Abstract: Supervised learning with irregularly sampled time series have been a challenge to Machine Learning methods due to the obstacle of dealing with irregular time intervals. Some papers introduced recently recurrent neural network models that deals with irregularity, but most of them rely on complex mechanisms to achieve a better performance. This work propose a novel method to represent timestamps (hours or dates) as dense vectors using sinusoidal functions, called Time Embeddings. As a data input method it and can be applied to most machine learning models. The method was evaluated with two predictive tasks from MIMIC III, a dataset of irregularly sampled time series of electronic health records. Our tests showed an improvement to LSTM-based and classical machine learning models, specially with very irregular data.