A review of irregular time series data handling with gated recurrent neural networks

Abstract

Irregular time series data is becoming increasingly prevalent with the growth of multi-sensor systems as well as the continued use of unstructured manual data recording mechanisms. Irregular data and the resulting missing values severely limit the data's ability to be analysed and modelled for classification and forecasting tasks. Often, conventional methods used for handling time series data introduce bias and make strong assumptions on the underlying data generation process, which can lead to poor model predictions. Traditional machine learning and deep learning methods, although at the forefront of data modelling, are at best compromised by irregular time series data sets and fail to model the temporal irregularity of incomplete time series. Gated recurrent neural networks (RNN), such as LSTM and GRU, have had outstanding success in sequential modelling, and have been applied in many application fields, including natural language processing. These models have become an obvious choice for time series modelling and a promising tool for handling irregular time series data. RNNs have a unique ability to be adapted to make effective use of missing value patterns, time intervals and complex temporal dependencies in irregular univariate and multivariate time series data. In this paper, we provide a systematic review of recent studies in which gated recurrent neural networks have been successfully applied to irregular time series data for prediction tasks within several fields, including medical, human activity recognition, traffic monitoring and environmental monitoring. The review highlights the two common approaches for handling irregular time series data: missing value imputation at the data pre-processing stage and modification of algorithms to directly handle missing values in the learning process. Reviewed models are confined to those that can address issues with irregular time series data and does not cover the broader range of models that deal more generally with sequences and regular time series. This paper aims to present the most effective techniques emerging within this branch of research as well as to identify remaining challenges, so that researchers may build upon this platform of work towards further novel techniques for handling irregular time series data.