CGCNImp: a causal graph convolutional network for multivariate time series imputation

Multivariate time series data generally contains missing values, which can be an obstacle to subsequent analysis and may compromise downstream applications. One challenge in this endeavor is the presence of the missing values brought about by sensor failure and transmission packet loss. Imputation is the usual remedy in such circumstances. However, in some multivariate time series data, the complex correlation and temporal dependencies, coupled with the non-stationarity of the data, make imputation difficult.

To address this problem, we propose a novel model for multivariate time series imputation called CGCNImp that considers both correlation and temporal dependency modeling. The correlation dependency module leverages neural Granger causality and a GCN to capture the correlation dependencies among different attributes of the time series data, while the temporal dependency module relies on an attention-driven long short term memory (LSTM) and a time lag matrix to learn its dependencies. Missing values and noise are addressed with total variation reconstruction.

We conduct thorough empirical analyses on two real-world datasets. Imputation results show that CGCNImp achieves state-of-the-art performance when compared to previous methods.