Masking the Gaps: An Imputation-Free Approach to Time Series Modeling with Missing Data

A significant challenge in time-series (TS) modelling is presence of missing values in real-world TS datasets. Traditional frameworks for handling missing values typically involve a two-step process involving imputation followed by modeling. However, existing approaches suffer from two major drawbacks: (1) the propagation of imputation errors into subsequent TS modeling, (2) the trade-offs between imputation efficacy and imputation complexity. To this end, we propose a novel imputation-free approach for handling missing values in time series termed Missing Feature-aware Time Series Modeling (MissTSM) with two main innovations. First, we develop a novel embedding scheme that treats every combination of time-step and feature (or channel) as a distinct token. Second, we introduce a novel Missing Feature-Aware Attention (MFAA) Layer to learn latent representations at every time-step based on partially observed features. We evaluate the effectiveness of MissTSM in handling missing values over multiple benchmark datasets.