An Efficient Dynamic Auto-Regressive CCA for Time Series Imputation With Irregular Sampling

Abstract

System dynamics are inevitable in industrial processes due to factors such as ambient disturbances and controller tuning. Accurate modeling of these dynamics are of key importance for subsequent process analysis and anomaly detection, and dynamic latent variable methods are widely adopted since they retain good interpretability. However, only dynamic cross-correlations are modeled in existing methods, leaving a large portion of quality information unexploited. In this work, an efficient dynamic auto-regressive canonical correlation analysis (EDACCA) method is proposed with a modified auto-regressive exogenous model to extract dynamics in both auto-correlations and cross-correlations. The flexibility and efficiency of EDACCA are improved with the design of weighting parameters and the economic singular value decomposition. EDACCA is further adapted for multi-step ahead (MS) prediction and missing data imputation. Two industrial processes are employed to evaluate the prediction performance and imputation performance of EDACCA. <italic xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">Note to Practitioners</i> —Different sampling rates are usually set for process and quality variables in industrial processes, which leads to less quality samples. Meanwhile, system dynamics are not fully exploited for dynamic predictive modeling in most existing algorithms. The focus of this study is to develop a customized data imputation method for different data volume of process and quality data. An efficient dynamic auto-regressive canonical correlation analysis (EDACCA) is designed to extract temporal relations between process and quality variables, which is also adapted for multi-step-ahead prediction purpose. An EDACCA based data imputation method is also proposed to impute incomplete data caused by irregular sampling rates.