imputeTS: Time Series Missing Value Imputation in R
The imputeTS package specializes on univariate time series imputation. It offers multiple state-of-the-art imputation algorithm implementations along with plotting functions for time series missing data statistics. While imputation in general is a well-known problem and widely covered by R packages, finding packages able to fill missing values in univariate time series is more complicated. The reason for this lies in the fact that most imputation algorithms rely on inter-attribute correlations, while univariate time series imputation instead needs to employ time dependencies. This paper provides an introduction to the imputeTS package and its provided algorithms and tools. Furthermore, it gives a short overview about univariate time series imputation in R.
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PhysioNet Challenge 2012
Results from the Paper
| Task | Dataset | Model | Metric Name | Metric Value | Global Rank | Benchmark |
|---|---|---|---|---|---|---|
| Multivariate Time Series Imputation | Beijing Multi-Site Air-Quality Dataset | ImputeTS | MAE (PM2.5) | 19.58 | # 5 | |
| Multivariate Time Series Imputation | PhysioNet Challenge 2012 | ImputeTS | MAE (10% of data as GT) | 0.390 | # 3 | |
| Multivariate Time Series Imputation | UCI localization data | ImputeTS | MAE (10% missing) | 0.363 | # 3 |
