Multivariate Time Series Imputation with Variational Autoencoders

Time series are often associated with missing values, for instance due to faulty measurement devices, partially observed states, or costly measurement procedures [15]. These missing values impair the usefulness and interpretability of the data, leading to the problem of data imputation: estimating those missing values from the observed ones [38]. Multivariate time series, consisting of multiple correlated univariate time series or channels, give rise to two distinct ways of imputing missing information: (1) by exploiting temporal correlations within each channel, and (2) by exploiting correlations across channels, for example by using lowerdimensional representations of the data. For instance in a medical setting, if the blood pressure of a patient is unobserved, it can be informative that the heart rate at the current time is higher than normal and that the blood pressure was also elevated an hour ago. An ideal imputation model for multivariate time series should therefore take both of these sources of information into account.