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First published: 2016/06/06 (8 years ago)
Abstract: Many multivariate time series data in practical applications, such as health care, geoscience, and biology, are characterized by a variety of missing values. It has been noted that the missing patterns and values are often correlated with the target labels, a.k.a., missingness is informative, and there is significant interest to explore methods which model them for time series prediction and other related tasks. In this paper, we develop novel deep learning models based on Gated Recurrent Units (GRU), a state-of-the-art recurrent neural network, to handle missing observations. Our model takes two representations of missing patterns, i.e., masking and time duration, and effectively incorporates them into a deep model architecture so that it not only captures the long-term temporal dependencies in time series, but also utilizes the missing patterns to improve the prediction results. Experiments of time series classification tasks on real-world clinical datasets (MIMIC-III, PhysioNet) and synthetic datasets demonstrate that our models achieve state-of-art performance on these tasks and provide useful insights for time series with missing values.