A time series continuous missing values imputation method based on generative adversarial networks

Abstract

Generative adversarial networks (GANs) have been widely utilized in time series analysis and modeling, wherein generators and discriminators interact to generate realistic data. However, when addressing the challenge of imputing continuous missing values in time series, the generator struggles to learn meaningful features due to the loss of local information, and the discriminator’s loss function exhibits significant deviations in determining the probability, making it difficult to effectively update model parameters during training. In response to these issues, this study presents a novel imputation model called cue Wasserstein generative adversarial network with gradient penalty (CWGAIN-GP). CWGAIN-GP incorporates the contextual cue information matrixs into the generator, enabling obtain and capture the potential data evolution features that hidden beyond the missing positions. This approach constrains the generator’s generation results to be closer to the true values probability distribution. Meanwhile, it optimizes the generator and discriminator neural network structure and loss function computation strategy of the original GAN model, which not only improves the accuracy of continuous missing data interpolation, but also improves the training stability of the model. Finally, We used three imputation accuracies on two real-world datasets, including experiments on imputation accuracy for eight comparison models, ablation study, and experiments on the effect of consecutive missing lengths. The experimental results show that CWGAIN-GP achieves impressive performance in imputing continuous missing time series.