Diffusion-based Time Series Imputation and Forecasting with Structured State Space Models

Published: 23 Feb 2023, Last Modified: 28 Feb 2023Accepted by TMLREveryoneRevisionsBibTeX
Abstract: The imputation of missing values represents a significant obstacle for many real-world data analysis pipelines. Here, we focus on time series data and put forward SSSD, an imputation model that relies on two emerging technologies, (conditional) diffusion models as state-ofthe-art generative models and structured state space models as internal model architecture, which are particularly suited to capture long-term dependencies in time series data. We demonstrate that SSSD matches or even exceeds state-of-the-art probabilistic imputation and forecasting performance on a broad range of data sets and different missingness scenarios, including the challenging blackout-missing scenarios, where prior approaches failed to provide meaningful results.
Submission Length: Regular submission (no more than 12 pages of main content)
Changes Since Last Submission: camera ready
Code: https://github.com/AI4HealthUOL/SSSD
Assigned Action Editor: ~Stephan_M_Mandt1
License: Creative Commons Attribution 4.0 International (CC BY 4.0)
Submission Number: 641