NRTSI: Non-Recurrent Time Series Imputation

Abstract

Time series imputation is a fundamental task for understanding time series with missing data. Existing methods either do not directly handle irregularly-sampled data or degrade severely with sparsely observed data. In this work, we reformulate time series as permutation-equivariant sets and propose a novel imputation model NRTSI that does not impose any recurrent structures. Taking advantage of the permutation equivariant formulation, we design a principled and efficient hierarchical imputation procedure. In addition, NRTSI can directly handle irregularly-sampled time series, perform multiple-mode stochastic imputation, and handle data with partially observed dimensions. Empirically, we show that NRTSI achieves state-of-the-art performance across a wide range of time series imputation benchmarks.

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