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Bidirectional f-Divergence-Based Deep Generative Method for Imputing Missing Values in Time-Series Data

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  • Wen-Shan Liu

    (Department of Health and Clinical Outcomes Research, Saint Louis University, St. Louis, MO 63103, USA)

  • Tong Si

    (Department of Mathematics and Computer Science, Culver-Stockton College, Canton, MO 63435, USA)

  • Aldas Kriauciunas

    (Department of Mathematics and Statistics, Saint Louis University, St. Louis, MO 63103, USA)

  • Marcus Snell

    (Department of Mathematics and Statistics, Saint Louis University, St. Louis, MO 63103, USA)

  • Haijun Gong

    (Department of Mathematics and Statistics, Saint Louis University, St. Louis, MO 63103, USA)

Abstract

Imputing missing values in high-dimensional time-series data remains a significant challenge in statistics and machine learning. Although various methods have been proposed in recent years, many struggle with limitations and reduced accuracy, particularly when the missing rate is high. In this work, we present a novel f-divergence-based bidirectional generative adversarial imputation network, tf-BiGAIN, designed to address these challenges in time-series data imputation. Unlike traditional imputation methods, tf-BiGAIN employs a generative model to synthesize missing values without relying on distributional assumptions. The imputation process is achieved by training two neural networks, implemented using bidirectional modified gated recurrent units, with f-divergence serving as the objective function to guide optimization. Compared to existing deep learning-based methods, tf-BiGAIN introduces two key innovations. First, the use of f-divergence provides a flexible and adaptable framework for optimizing the model across diverse imputation tasks, enhancing its versatility. Second, the use of bidirectional gated recurrent units allows the model to leverage both forward and backward temporal information. This bidirectional approach enables the model to effectively capture dependencies from both past and future observations, enhancing its imputation accuracy and robustness. We applied tf-BiGAIN to analyze two real-world time-series datasets, demonstrating its superior performance in imputing missing values and outperforming existing methods in terms of accuracy and robustness.

Suggested Citation

  • Wen-Shan Liu & Tong Si & Aldas Kriauciunas & Marcus Snell & Haijun Gong, 2025. "Bidirectional f-Divergence-Based Deep Generative Method for Imputing Missing Values in Time-Series Data," Stats, MDPI, vol. 8(1), pages 1-18, January.
  • Handle: RePEc:gam:jstats:v:8:y:2025:i:1:p:7-:d:1566572
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    References listed on IDEAS

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    1. Bai, Jushan & Ng, Serena, 2008. "Forecasting economic time series using targeted predictors," Journal of Econometrics, Elsevier, vol. 146(2), pages 304-317, October.
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