International Business Machines Corporation
FORECASTING IN MULTIVARIATE IRREGULARLY SAMPLED TIME SERIES WITH MISSING VALUES

Abstract:

In an approach for forecasting in multivariate irregularly sampled time series, a processor receives time series data having one or more missing values. A processor determines, from the time series data, non-missing values present in the time series data. A processor determines, from the time series data, zero or more mask values for the time series data. A processor determines time interval values. A processor inputs the one or more missing values, the non-missing values, the zero or more mask values, and the time interval values into a recurrent neural network. A processor determines a predicted value for the one or more missing values.