A novel LSTM for multivariate time series with massive missingness

Nazanin Fouladgar*, Kary Främling

*Corresponding author for this work

Research output: Contribution to journalArticleScientificpeer-review

Abstract

Multivariate time series with missing data is ubiquitous when the streaming data is collected by sensors or any other recording instruments. For instance, the outdoor sensors gathering different meteorological variables may encounter low material sensitivity to specific situations, leading to incomplete information gathering. This is problematic in time series prediction with massive missingness and different missing rate of variables. Contribution addressing this problem on the regression task of meteorological datasets by employing Long Short-Term Memory (LSTM), capable of controlling the information flow with its memory unit, is still missing. In this paper, we propose a novel model called forward and backward variable-sensitive LSTM (FBVS-LSTM) consisting of two decay mechanisms and some informative data. The model inputs are mainly the missing indicator, time intervals of missingness in both forward and backward direction and missing rate of each variable. We employ this information to address the so-called missing not at random (MNAR) mechanism. Separately learning the features of each parameter, the model becomes adapted to deal with massive missingness. We conduct our experiment on three real-world datasets for the air pollution forecasting. The results demonstrate that our model performed well along with other LSTM-derivation models in terms of prediction accuracy.

Original languageEnglish
Article number2832
Pages (from-to)1-17
Number of pages17
JournalSensors (Switzerland)
Volume20
Issue number10
DOIs
Publication statusPublished - 2 May 2020
MoE publication typeA1 Journal article-refereed

Keywords

  • LSTM
  • Massive missingness
  • Multivariate time series
  • Regression

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