kNN ensembles with penalized DTW for multivariate time series imputation
Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › Research › peer-review
The imputation of partially missing multivariate time series data is critical for its correct analysis. The biggest problems in time series data are consecutively missing values that would result in serious information loss if simply dropped from the dataset. To address this problem, we adapt the k-Nearest Neighbors algorithm in a novel way for multivariate time series imputation. The algorithm employs Dynamic Time Warping as distance metric instead of point-wise distance measurements. We preprocess the data with linear interpolation to create complete windows for Dynamic Time Warping. The algorithm derives global distance weights from the correlation between features and consecutively missing values are penalized by individual distance weights to reduce error transfer from linear interpolation. Finally, efficient ensemble methods improve the accuracy. Experimental results show accurate imputations on datasets with a high correlation between features. Further, our algorithm shows better results with consecutively missing values than state-of-the-art algorithms.
Original language | English |
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Title of host publication | 2016 International Joint Conference on Neural Networks, IJCNN 2016 |
Number of pages | 8 |
Publisher | Institute of Electrical and Electronics Engineers Inc. |
Publication date | 31 Oct 2016 |
Pages | 2774-2781 |
Article number | 7727549 |
ISBN (Electronic) | 9781509006199 |
DOIs | |
Publication status | Published - 31 Oct 2016 |
Externally published | Yes |
Event | 2016 International Joint Conference on Neural Networks, IJCNN 2016 - Vancouver, Canada Duration: 24 Jul 2016 → 29 Jul 2016 |
Conference
Conference | 2016 International Joint Conference on Neural Networks, IJCNN 2016 |
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Land | Canada |
By | Vancouver |
Periode | 24/07/2016 → 29/07/2016 |
Sponsor | IEEE Computational Intelligence Society (IEEE CIS) |
ID: 223196498