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Time-series Imputation Algorithm

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posted on 05.11.2021, 17:54 authored by David HoweDavid Howe
Statistical imputation is a field of study that attempts to fill missing data. It is commonly applied to population statistics whose data have no correlation with running time. For a time series, data is typically analyzed using the autocorrelation function (ACF), the Fourier transform to estimate power spectral densities (PSD), the Allan deviation (ADEV), trend extensions, and basically any analysis that depends on uniform time indexes. We explain the rationale for an imputation algorithm that fills gaps in a time series by applying a backward, inverted replica of adjacent live data. To illustrate, four intentional massive gaps that exceed 100% of the original time series are recovered. The L(f) PSD with imputation applied to the gaps is nearly indistinguishable from the original. Also, the confidence of ADEV with imputation falls within 90% of the original ADEV with mixtures of power-law noises. The algorithm in Python is included for those wishing to try it.

History

Email Address of Submitting Author

david.howe@nist.gov

ORCID of Submitting Author

https://orcid.org/0000-0002-1991-8861

Submitting Author's Institution

NIST

Submitting Author's Country

United States of America